Do shower water supply line covers need to be sealed or caulked?
I have personally never sealed or caulked the shower neck cover and haven't had any real moisture problems as a result.

The plate is mostly meant to be aesthetic rather than functional, to hide the ugly hole in your wall that your shower neck extends from.  Moisture shouldn't be a problem unless their was negative pressure inside of your wall as compared to the bathroom.  This of course shouldn't happen because you should have a fan going while you shower, and this fan will create a negative pressure in the bathroom vs. the inside of your wall. When the fan is running, air will actually move from the inside of the wall into the bathroom.

If it really concerns you then you can use a bit of paint around the edge to form a seal, but I don't think it is necessary.