Those all look correct, to me. Those are examples of proper nouns.
The reason that you would capitalize your first example is because it refers to a specific theorem, namely 4.6.1. Example number two is referring to a theorem less specifically. The third example is capitalized because it refers, again, to a specific theorem.
Capitalization of Hyphenated Compounds
Capitalization of hyphenated compounds in titles is a question of style. You should almost always capitalize the first part, in titles. The second part would be capitalized if it is a noun, proper adjective, or carries equal or more force than the first part. Don't capitalize the second word if it is a participle that is modifying the first word. [source]
Your example is an example of where the second word is modifying the first. In that case, you would not capitalize the word covering.
Journal Style Guidelines
I also agree with what GEdgar said about following the rules of the paper you are publishing in. If the journal you intend to publish in has a style guide, use it! If there is not a style guide, the best rule of thumb is to maintain uniformity in your style. This advice is taken from a style manual written by the American Mathematical Society.