I'd ask what "covering your sneeze" means. Now they are trying NOT to get kids (or adults) to use their hands because that just creates mucus- and spit-covered hands, which then touch eyes (conjunctivitis is awful), toys, doorknobs, food, and more. That's just as contagious as sneezing into someone's face. The thing most schools and doctors recommend is "sneeze into your elbow" so make sure that's what they are teaching - there are still people who think you should use your hand, or use a tissue that you then hold onto and use to wipe your own eyes! But "cover your sneeze" is too vague for kids - they are better with "elbow sneeze" or something more direct and specific.
But I think it's unreasonable to expect 4 and 5 year olds to remember this, since half of them can't remember to keep their hands to themselves or not push to be first in line or a whole bunch of other "rules" you'd think they'd know by now. It's just not realistic. Sometimes they don't feel the sneeze coming on or they're too absorbed in what they are doing, and sometimes they just enjoy cracking each other up with loud sneezes, burps, and other body sounds.
The other thing to consider is the huge number of parents who don't keep their kids home when they are sick. Sometimes that's the need to work, sometimes it's cluelessness, and sometimes it's pure selfishness ("I pay you for day care so YOU take care of the runny nose!") When I was teaching, the staff (teachers, nurse, office staff) were constantly astounded by the miserable-looking and -feeling kids who came in with fevers, nausea, green mucus runny noses and worse. So you've got a higher percentage of sick and contagious kids in the class, and a higher percentage of infection. I think you have to put some blame and some responsibility back on parents, and not just expect 4 year olds to think about others when that's just not where they're at developmentally.