You dont have to include a cover letter (from my own experience of 3 paroles - self filed) but you need a letter explaining a reason for travel.
Date: April 19, 2004
To
The United States Citizenship and Immigration Service
<Service Service Center address>
RE: Advance Parole – Reason for Travel.
Dear Sir or Madam:
I am not planning to travel while my adjustment of status application is pending. However I request multiple entries advance parole should a family emergency arise in my home country, <country>.
Thank you for your kind attention to my application for advance parole.
Sincerely,
(Signature)
Name:
Alien#:
