Answer: Citrus can exhibit signs such as you describe due to inconsistent soil moisture, however, I suspect that covering the plants might also be affecting their health. You didn't say what you're covering them with - if it's plastic sheeting, too much moisture can be held against the plant. Also, if the sun shines on the covering, it can trap way too much heat and also cause distress. Citrus are generally hardy to freezing temperatures, and sometimes can endure temps down in the 20's. If your garden regularly receives hard freezes, you may need to winter your citrus trees indoors. If the temps rarely drop to freezing, you may only need to insulate the containers so the roots do not freeze.
Citrus needs consistent moisture; moist but not soggy wet soil. Water thoroughly and then wait until the top inch of soil dries out before watering again. Do not cover your citrus trees, but move them close to a building for protection against freezing air temperatures. I think now that you've stopped covering your trees they will rebound and eventually replace the lost leaves.
Best wishes with your new trees!
Q&A Library Searching Tips