I've asked this question before, but now I'm old and feeble and cannot locate the answer?

I can't readily find a precise answer, but I would not have thought that the circumstances that you describe would lead to burst cylinder covers. Cylinder relief valves became a common fitting on locomotives of all types to guard against damage to the cylinders if the locomotive should 'prime', or 'hydraulicise' - that is, water being carried over into the cylinders. On a compound locomotive, these valves would serve to release any excess pressure. On the larger articulated Garrets, Mallets etc. the receiver pipe between the high and low-pressure engines had a considerable volume, and would be capable of absorbing the additional pressure caused by wheel-slip on the high-pressure engine. I don't know for sure, but perhaps the receiver pipes were also fitted with safety valves. A further consideration is that, when a conventional locomotive 'slips', the exhaust is relatively free. In a compound, the exhaust enters the receiver. Wheel-slip would cause the receiver pressure to rise, which would result in back-pressure on the HP pistons, and I would have though that this would counter the worst 'slipping'.

If you want an excellent book on compound locomotives, I would recommend "Compound Locomotives - an International Survey" by the late J.T. van Riemsdijk, published in the UK by Pendragon Books/Atlantic Transport Publishers, 1994. John van Riemsdijk was latterly the Keeper of Mechanical Engineering at the Science Museum in London, and I had the great pleasure of working with him on some of his books about 30 years ago.