Yes.
A good dressing helps create the ideal wound healing environment — warm and moist. It keeps a constant temperature at the wound surface and keeps the wound moist but not soggy.
The same answer comes from the other side when people ask whether a wound should be exposed to air. The answer is no, for the same reason in reverse: exposing a wound to the open air lowers the temperature of the wound surface and dries the wound out, and neither of those helps healing.
For pressure sores, it’s the same in plainer terms. Keeping the area covered with a dressing protects against infection and helps keep the sore moist so it can heal.
Two qualifications come with this, and both matter more than the headline.
The first is the limit of the word. Moist is not wet. The goal is moist but not soggy. Past that line, healthy tissue around a wound that gets too wet softens, which can cause the wound to get bigger. So keep the dressing and the skin around the wound dry. A wound bed that stays moist and surrounding skin that stays dry are both correct at once.
The second is that this is a general principle, not an instruction for every wound. In some specific cases, a clinician may advise keeping a wound open, or choose a different treatment. At some point in healing, a dressing is no longer needed, and the surgeon will say when. Both of those come from the person treating the wound, not from a rule.