I don't use a tow dolly, I flat tow my Jeep. But to answer your question, the first time I towed I didn't have any kind of protection on the toad, and unfortunately when I got to my destination I had several rock chips in the paint of my Jeep. Since then I have been using a Blue Ox KarGard protector. It doesn't stop all the rocks, but it probably blocks 90% of them.
I would definitely recommend doing something to protect the front of your toad.
Here's a link to what I use (although it won't work for a tow dolly):
BX88255 KarGard II | Blue Ox