Fitted winters today should there be a cover on the spline the wheel fits to (centre of wheel)? Looks odd to me. Also should I have used grease?

Looks fine to me, there is no cover on the front axle as the driveshaft is there. You have one on the back because there is no driveshaft, only the wheel bearing. My Audi has no cover on all 4 corners, the joys of 4WD.

 

Steel wheels are designed for hubcaps, and once installed the centres are hidden.

Yes ^ what he said.. Looks normal to me.

After a few weeks of these being on, the front wheel centre (axle) seems to have developed a red rusty coating, should I rub this off with steel wool and lightly grease? Or will it book to wait and then clean up prior to putting the alloys on.

Maybe I should have got a cheap set of trims to keep the damp off.

Exposed grease will attract dirt and crap, but it will stop it rusting though, personally I wouldn’t bother.

You could just remove the surface corrosion, de-grease and then give a light coat of Satin Black from a rattle can.

A spray of WD-40 every couple of weeks or after washing will help prevent corrosion.

There's an anti corrosion spray called ACF50 that will do the job.