Porky most vehicle shipping companies will probably want to up sell you on the enclosed car transport service for your vehicle (especially if your ride is an expensive make/model) as they make more on the deal.
Yes, its true sometimes small rocks (a.k.a. "Pebble Missiles") do get picked up by the auto transporters tires or tires of passing by vehicle on the road. We are not talking about a stone the size of a football here, lol. Usually it is a small tiny pebble that is large enough to fit in between your car tire thread. But do to the high speed vehicles are traveling these tiny pebbles can really shoot out from a tire like a Missile.

As for if these flying pebbles can cause scratches or other damage... well it is possible. It may chip or crack a windshield or nick your car paint...  i guess it all depend on the speed the pebble hit the vehicle as well as location it made contact.

If it will keep your mind at ease and you got the extra money then i would say get the enclosed transport but if you don't want to spend the extra money i would just ask the auto shipping company if your vehicle can ride on the top section of the open car transport carrier. Having your vehicle on the top should offer some sort of protection against flying “pebble missiles”.