Seal Cleat opening on Clipless Waterproof / Winter Cycling shoes?
You should be concerned yes, because wet feet are not happy feet. 

However, this is something your shoe manufacturer should have taken care of.  I have owned Specialized and Lake brands of waterproof shoes.  I have not ever had problems with water entering through the cleat holes of either (I have owned A LOT of Lake boots).  However, that doesn't mean your manufacturers have the same care.  You could call to inquire, or better yet, test.  

It should be easy to stopper a sink and put the footbed below the waterline to see what happens.  Testing one's equipment is a great way to build confidence in it.