There are rules concerning the covering of exhausts with bodywork:
Article 5.8 of the Technical Regulations requires the exit to not be obstructed by bodywork (section 4 part a) nor any other part of the last 15 cm of tailpipe (section 5 part a). Any sheathing cannot be more than 3 cm thick or otherwise extend more than 3 cm beyond the outer wall of the exhaust (section 5 part b), nor extend more than 60 cm past the end of the exhaust (section 5 part c).
Covering the exhaust appears not to be banned, but it is restricted. Back in 2013, Article 3.8.5 allows, among its exemptions to bodywork being complete, "apertures" to be made for exhaust exits. The rule was changed in 2014 to only allow suspension members and driveshafts. So although cars may now have some bodywork near the exhausts, the all-enveloping solutions permitted and practically mandated back in 2013 are now illegal.
(Had to laugh; the latest version of the 2015 Technical Regulations has the header "1999 FORMULA ONE TECHNICAL REGULATIONS - 2015 FORMULA ONE TECHNICAL REGULATIONS". Does this mean Marussia could enter an original BAR if they felt like it and really wanted to make themselves feel better about how good their self-designed cars are?)