This is kind of a tricky question because there are many factors that come into play, which are dictated by both your route and nature.
Firstly, it depends on your route. If you intend on staying within Reykjavík then the gravel protection is almost certainly pointless. The roads within Reykjavík don't contain much loose gravel (if any) and are quite well maintained. If you are planning on driving the South Coast, or maybe to the Golden Circle then the need for the gravel protection isn't so high but we would definitely still recommend it as there are some roads with a lot of loose gravel. Gravel protection is a must for people driving the Ring Road, as some parts of the route is gravel roads. Particularly in the east part of Iceland.
If you intend on driving F-roads, then it's 100% highly recommended you take gravel protection. F-roads are capable of causing some serious damage, even if you drive extremely carefully. In fact, if your intention is to drive on any F-road then it is best that you take the full insurance.
Sometimes, it may take one tiny piece of loose gravel to shoot up and cause some damage to the vehicle. Other times, you may drive on very 'gravely' roads and no damage may occur. That is the difficult side of life: luck!
This is why when confronted with this question, I always highly recommend that the customer take gravel protection, even in winter. You never know what can happen and it is always better to be safe than sorry.