There's a cage over our pool, (it was already there when we bought the house) but it doesn't really keep out many mosquitoes or, as Alice pointed out, the no-see-ums either. I have a few carnivorous plants hanging in the shady corners that take care of a lot of the uninvited guests. The cage does keep a lot of leaves and stuff out of the pool though, not to mention critters like raccoons and snakes. Squirrels are also known to enjoy eating orchid flowers so it's nice to have them protected by the screen cage.
Almost all my orchids are growing out there in the cage, and I figure the screen reduces the sun's intensity by about 20% which is great most of the year, but in summer, not quite enough so I have a small tarp of Aluminet that goes over the very top of the cage for late may through July. It's shade cloth that comes in different shade factors from 30% to 80% (I think) and mine is 30%. So even my sun-loving orchids get some mid-day sun protection in the hottest time of year. The shade cloth also keeps my pool from getting too warm through the summer months.