I've always had my CB2300 covered. I could not imagine it otherwise. Just the few days last year (while under re-construction), I had the roof off and it snowed about a foot. What a mess. Re-enforced my feelings of having it covered in. Smoke is the only drawback. A good exaust fan helps a lot. But even still, I'm located on a main road and have had the fire department called twice due to smoke billowing out the building during cleaning. My unit has had (until last year) a problem with excessive creosote/tar buildup in the bottom of the firebox. When I try to stir it up or shovel it out it smokes horrendously.
Now on the heat factor, I don't find that there is much heat to be had escaping into the enclosure. There will probably be some and it will be noticably nicer than standing outside. I am set up to heat greenhouses. They are not running now, but hot water is flowing through the main header assembly (inside my enclosure) that feeds the greenhouses. Those headers are not insulated in any way at this point and never have been. I get just enough heat loss from that system to be just noticable in cold weather. In fairness, the building has a metal roof with no sheething underneath it and the walls are only covered with plastic.
One idea I'd like to share with regard to building design is this. One other guy local to me built his structure around his boiler. His walls appear to be a total of, I think, 10' tall with the first 8' sheethed in. The upper 1 to 2 feet of the wall is open under the roof line allowing good ventilation while tending the fire, and also good air flow to help dry the wood stored in there.