How to interpret the hadith Musnad Al-Bazzār 16/215/8628?

Assalamu alaykum I read in this hadith Musnad Al-Bazzār 16/215/8628 > "When one of you goes in unto his wife, let him be covered, for if he is not covered, the angels feel shy and depart, then if they have a child, the Shaytaan will have a share of him." What does it mean? Have a man or woman to stay covered in front of his wife or husband? Or does it mean only durong the during the sex? Thank you!