I presume you mean the hotshoe cover, not the flash sync terminal cover? My D300 didn't come with one installed on the camera, although my D80 did. I looked in my D300 box and It's not there either, although the viewfinder cover fooled me for a minute. I checked my D80 box, and I do still have the one for it. Guess they just don't ship them with the D300.
I got several hot shoe covers for my DSLR on ebay at a very reasonable price. They are easily lost so buying several at the same time makes sense to me. Even though Nikon may not consider this necessary, I believe that a cover keeps the terminals clean and safe. I have had problems in the past with dirty terminals which result in weird flash problems.
I kept my hotshoe cover from my Fuji S 5 for the D300 Fuji still supply it with their camera Put it on the D300 and had it nearly 7 months and work with the camera on a daily basis never lost it yet Regards FUJS5
Never be afraid to take advice from a wiser man/woman