I wash the pillow and mattress covers and the duvet covers when I wash the blankets and sheets.
I have recently started using down alternative comforters instead of goose down, and these can be washed easily, but they still take a long time and a lot of energy to dry.
I tend to wash the pillows and comforters at the end of the season before putting them away. But bedding protectors are great!
They keep allergens and everything else away from the guest and anything the guest brings away from our bedding.