Playing Weakness cards in agreement with the rules is no trivial task. There are already some reviews regarding this especially complex card, Cover Up, but none so far that puts all pieces together to one whole image.
In my review i will try to explain how this card is played according to the rules.
When a treachery card, like Cover Up, is drawn by an investigator, that investigator must resolve its effects. Please note the wording. Some cards only let you search or look at cards from your deck, in these cases the effect does not resolve!
The effect is initiated by the keyword Revelation, which means "When a weakness card enters an investigator's hand, that investigator must immediately resolve all
revelation abilities on the card as if it were just drawn."
So you follow all the steps in the rulebook under "Appendix I: Initiation Sequence".
No play restriction, cost is zero.
Step 1. No modifier applicable.
Step 2. No cost to pay.
Step 3. The card commences being played, or the effects of the ability attempt to initiate. This means the card Cover Up leaves your hand at this point.
Step 4. The effects of the ability (if not canceled in step 3) complete their initiation, and resolve.
The card is regarded as played, but not placed in its owner's discard pile, because the text states "Put Cover Up into play in your threat area, with 3 clues on it."
So Cover Up lands in it's bearer's threat area. But unlike other card types there, it is a treachery card, which is a subtype of of an encounter card. And because of that, other players can interact with it. You will find the corresponding rule under "Weaknesses": Weaknesses with an encounter cardtype are, like other encounter cards, not controlled by any player.
The text of the ability states to "When you would discover 1 or more clues at your location: Discard that many clues from Cover Up instead." This should be broken down into two parts. First, the "When"-clause. You can only trigger that reaction if the trigger condition is met, meaning there has to be at least one clue present at that location. (I continue to speak in the singular form, because the rules do not differ if multiple clues are gathered at once.) The way in which you aquired that clue, does not matter. Now the clue remains at the location, because of the keyword "instead", this interrupts the resolving process and the replacement resolves, "a clue from Cover Up is discarded."
Second, the "you" keyword is important. As clarified in the FAQ [V1.0, section 2.1], the "you" and "at your location" within this triggered ability, refer to the investigator triggering the ability. And other investigators beside the bearer are allowed to trigger it, as already explained, because the card is not controlled by any player.
Irrespective of the clue count on Cover Up, the card stays in Roland's threat area until the end of the game(=scenario). It can not be discarded and luckily can not be reshuffled into the investigator's deck during the game. Of course it remains being a part of the deck for the rest of the campaign.
If Roland is eliminated (by being defeated or taking a resign action) while Cover Up is in play, Cover Up's Forced effect triggers, as per the FAQ [V1.0, section 'Rulebook errata', topic "Elimination"]: For the purpose of resolving weakness cards, the game has ended for the eliminated investigator. Trigger any “when the game ends” abilities on each
weakness the eliminated investigator owns that is in play. Then, remove those weaknesses from the game.”
Recommendations
This weakness makes Roland the most difficult to play character from the Core Set. He has a low base Sanity value and a low Willpower, which makes him vulnerable to horrifying events from the Encounter deck. I would advise new players to put some means to prevent or heal horror from Roland into their deck.