The cargo compartment of the CX-5 is pretty private even without a cover, especially in the Touring and Grand Touring models with tinted glass. Even in the untinted Sport model it's not easy to see inside back there unless you go up and really look.
My previous two wagons (Passat, sold, and Protege 5, still owned) came with cargo covers which moved to a shelf in the garage within a few weeks of the cars coming home and were never used again.
Unless it's something you know you want, I'd say you won't miss it.