Why do the sas have to cover there faces on camera or give fake names like Andy mcnab?

Because it's for the protection of their identity, once an ex special forces member got assassinated after his face was revelead, and in case of being captured, the hostage-holders can't know the hostages identity and threaten them with "we know where your daughter goes to school..." etc. Even in recruitment camps the SAS operators have their faces covered while recruiting people, and once recruiters manage to pass tests and join SAS their identity is also hidden and protected.