The problem of uncertainty is a feature of real world robotics problems and any control framework must contend with it in order to succeed in real applications tasks. Reinforcement Learning is no different, and epistemic uncertainty arising from model uncertainty or misspecification is a challenge well captured by the sim-to-real gap. A simple solution to this issue is domain randomization (DR), which unfortunately can result in conservative agents. As a remedy to this conservativeness, the use of universal policies that take additional information about the randomized domain has risen as an alternative solution, along with recurrent neural network-based controllers. Uncertainty-aware universal policies present a particularly compelling solution able to account for system identification uncertainties during deployment. In this paper, we reveal that the challenge of efficiently optimizing uncertainty-aware policies can be fundamentally reframed as solving the convex coverage set (CCS) problem within a multi-objective reinforcement learning (MORL) context. By introducing a novel Markov decision process (MDP) framework where each domain's performance is treated as an independent objective, we unify the training of uncertainty-aware policies with MORL approaches. This connection enables the application of MORL algorithms for domain randomization (DR), allowing for more efficient policy optimization. To illustrate this, we focus on the linear utility function, which aligns with the expectation in DR formulations, and propose a series of algorithms adapted from the MORL literature to solve the CCS, demonstrating their ability to enhance the performance of uncertainty-aware policies.