If you look at a sensor after removing it you can see right through it down the hole, so I guess this may let the skin breath – this is just a guess though.
The sensor contains a tiny heat sensor – top right in the photo, and this presses against a very thin section of the plastic on the skin side of the sensor. The temperature recorded is quite probably used in the algorithm that is used by the chip that does all the calculations to calculate blood glucose. Next time you have a chance to look at the skin side of a sensor see if you can spot the tiny clear ‘window’ the temperature sensor presses against.
My intuitive guess is that covering the hole may prevent heat escaping thereby contributing to an over-estimation of body temperature. The only time I had to secure a sensor with tape I used two thin strips and avoided covering the hole.
All above are ‘best guesses’ so I’m quite prepared to be shot down!