Some older power supplies don't have the 8 pin connector, so they are forced to use a 4 pin connector and they don't know how to insert it correctly.
You have a good power supply with all the right connectors.
8 pin connection is only required for a few (older) P4 procs. Listed it a while back when some one else had this question. Cover is to prevent using the wrong 4 Pins when using the 4 Pin connector. Have 965-DQ6 board and E6400 Proc. 4P, or 8 Pin makes no difference. Had 4 Pin installed, changed PSU - used 8 Pin - too lazy to remove 8 pin and put 4 pin connector back in. I would recommend using 4 Pin, unless you need the 8 Pin (Recommended in my manual - and leave cover inplace.
The 8 pin is for any CPUs at 130W or more. Many Intel quads OCed will be at or above 130W, and some AMDs will be there stock. So it is a good idea to determine your CPU load at whatever OC you will be running, if any, and use the 8 pin if you need it. Additionally it won't harm anything to use the 8 pin, the CPU will only draw what it needs, obviously.