I'm doing it, btw. I'm gonna put a bandaid on a coldsore I just medicated.
As far as my mostly informed layperson's knowledge can say, there are probably some benefits to covering a cold sore at least for certain times and activities & few significant risks. For me, I don't want to fuck up my sore with my pillow, blankets etc while I sleep & risk spreading the outbreak, causing more pain, or slowing healing. 🤷
I'm mildly allergic to some bandage adhesives & maybe that'll make it worse, idk.