I used to think that it was beneficial to prevent anaerobic bacteria from infecting the wound, since exposure to oxygen would limit their growth. My understanding of this is evolving, but it seems that some of the time it is true that a wound needs to "breathe" but that doesn't mean it should be uncovered.

This article makes it clear that sometimes an "occlusive" bandage (one that completely prevents air/water transfer) is not right, in this case focusing on wounds with impaired circulation.

This article from a bandage manufacturer makes it clear that most of the time occlusive bandages are better, but there are different extents of occlusivity, and the bandage should be matched to the application.