You will find probably at least a dozen other threads concerning this issue, including one that was active as of yesterday as a matter of fact. Here is the condensed version of why H-D and other's don't recommend using the CVO cover with the round K&N style filters:
The regular Touring air cleaner covers have a round center section which is a perfect match for the round end of the filter. The CVO cover has a rectangular center section, and it does not make full contact with the end of the filter, resulting in less support and more stress on the single center bolt and nut. This has been known to cause the metal end cap of the filter to crack or completely break out at the nut, and has led to the cover actually falling off. Not good for you, or for the person driving down the highway behind you.
IF you provide the additional support needed, you can use the CVO cover with the SE, K&N, Ness, Zipper's, etc. air filters. Plenty have done so, and some have even gotten away with it without providing any extra support. To be safe, either modify the cover to provide the needed support, or go with a non-CVO cover like the standard football from H-D, or one of the many other styles available. If you would prefer to just go with a different air filter arrangement, try the Ventilator from H-D (same filter that's standard on the SESG) and hang that heavy stock CVO cover on the garage wall.
Jerry