When you cover the pan, the steam that normaly evaporates into the air collects on the inside of the lid, condenses, and drips back into the hot oil. This water then pops explosively. When you lift the lit, invariably, you will dislodge some of the condensed water droplet which will fall into the hot oil, again popping and splattering hot oil, possibly onto you. Granted, this will be a minor burn, but it's still painful.
I have fried with the lid on, but know what to expect, and so can guard against the burns. Also, when the lid is on, the steam will soften any crust or coating that may protude from the hot oil, giving you a soggy coating, or breading.
A better solution to the grease problem is to purchase an fine-mesh metal screen designed to fit over the pan, catch the oil droplets, and still allow the steam to escape. I have used such a device successfully for years.. Typically, they will be called "splatter screens" in the department store.
Seeeeeeya; Goodweed of the North
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