Due to SERVER-5022, it is currently not possible to have fully covered sharded queries.

This is noted in the Limits section of the manual: http://docs.mongodb.org/manual/reference/limits/#Covered-Queries-in-Sharded-Clusters

.. but not mentioned in the tutorial on creating covered queries:
http://docs.mongodb.org/manual/tutorial/create-indexes-to-support-queries/#create-indexes-that-support-covered-queries