A frostfree faucet works by having the shut-off mechanism, at the rear of the extended pipe, being inside the foundation. It should be pitched downwards towards the outside of the home to allow drainage after being shut off. No hoses should be left attached or the faucet will not drain properly and will freeze. I use the foam cover to prevent any cold air from coming into the house from around the pipe.
frost proof or not the foam covers are alot cheaper than opening the wall to fix a burst pipe. Cheap $5 or less insurance IMO next spring take them off and put them up till next year. It doesnt get real cold here and I put them on my exterior faucets every year.