The cover save shouldn't really be relevant, especially as it is the cover itself that is providing most of the effect.
I say Milan here, but the principle applies to any HEAT warhead. With vehicles, the vehicle's armour is superheated by the explosion so that it melts and is pushed in the direction of the explosion. The principle works with concrete and brick too, but is magnified as these are somewhat porous in comparison to armour. Earth or sand in bags is not even actually solid, so again the effect is magnified. The actual 'plasma jet' created doesn't go very far, but being hit by it, or the bits of it that come away from the main jet will ruin your day. In an enclosed space it's really effective.
Essentially the Milan has to hit something solid to detonate. One was reported to have passed through sandbags and into an earth-filled oil drum before exploding. As it's a shaped charge the remaining dirt and the oil drum in front of that blast became the plasma jet created by it. So if you were stood behind that drum the cover would be actually working against you.
Alternatively, if you were in a small cave and a Milan enters and explodes on the rear wall, you would have to be within 2m of it to stand any risk of being hit when the case explodes. The explosion itself would melt a small hole a few inches into the cave wall, but otherwise the weapon's effect would be wasted. In the Falklands one was fired at an MG team in a 5' wide cave taking them out in this manner.
In short cover works against kinetic energy (bullets, fragments) as it absorbs, obstructs, deflects and otherwise dissipates their velocity. HEAT works by melting that cover (unless it's wood) and spraying it at you. It is possible that a projectile could bury itself in 'soft cover' and not detonate, but unless you have a metre or two of dirt/concrete/rock between you and the detonation, you're typically in trouble.