What does cover change mean?

it means switching a fighter in during the enemy's combo. a lot of the more challenging ai will end their combo as youre switching and it will be considered a failed cover change, so the best trick for completing this challenge is to wait until the enemy is doing the dive forward strike attack animation (as opposed to the dashing forward in a straight line animation that occurs during dash melee specials and the first strike attack of a combo) and switching another fighter in before the hit actually lands.