Oh, this is about a lizard lol. I was gonna say...Kelly (savannahbabe) ain't all that shy really once ya get to know her. lol
It's not unusual for any reptile to be shy while feeding. ESPECIALLY the young ones. They know that it takes them awhile sometimes to get food down and they don't want to be caught off guard by a predator while their mouth is full and they can't defend themselves. It is probably that your sav still sees you as a threat to at least some degree. This will get better with a little time but you should respect the privacy for awhile at least while eating. Covering the whole cage up should not be necessary unless just while feeding. You might rethink where you have the cage though. If it's in a high traffic area of the house, you really should move it somewhere where it's pretty quiet most of the day...some place where you have to go specifically to see him. From your posts, I gather that you are very excited about your new pet and can't divert your attention from it any waing hour you are home.

It's nice that he will never be neglected but you have to understand that he is a wild animal. there is no such thing as a domesticated reptile. So he doesn't share your enthusiasm and stress could end up being his downfall eventually. The best way to ease the shyness is just to be patient and very non-threatening when handling, feeding or whatever you do around him. Keep the kittys and dogs away. Don't cran up loud music around him. It is a gradual process. Don't expect some miracle technique to chill him out over night.