Others have replied well, but I'd like to voice the opposing view that covenants do, indeed, "just happen" often enough.
Mythic Europe is not historical Europe. While in historical Europe all land belonged to someone (not necessarily the king - but that, too, in some places), this need not be the case in Mythic Europe.
Consider a feudal lord in Mythic Europe. He has this manor, or castle, or whatever, sitting on the valley right next to his big parcel of land. Etching for expansion, he finds that the land is controlled not by a noble or the Church, but rather by this - fairly large - settlement, led by a group of weird scholars that some whisper are wizards. This has been the situation for hundreds of years, with the local villagers under their rule quite accustomed to it. There may even be dark rumours about nobles that tried to take that place in the past, and their vile fate.
What would the lord do? He could try to take the land by various means, but whether he will succeed or not is up to what works well for your saga. More importantly, it makes perfect sense within Mythic Europe that the covenant and its lands will be left alone, and/or succesfully repel attempts to take their land (just as nobles do).
In my view, most covenants are maintained by tradition. Uniform laws and historical knowledge aren't a norm, so it is perfectly sensible for a place to be run by its own laws, have its own traditions, and so on. Occasionally, people will come about trying to impose new laws onto it - perhaps a king will attempt to conquer it, or so on. For the most part, magi have enough power to resist such attempts, if this makes for a better story. An historical example is given of a French non-noble family, I think called Couchy, in Barbara Touchmans' Broken Mirror that essentially simply had a huge castle, and remained independent of any king - right at the heartland of France - for centuries.
At other times, covenants may reach some sort of de-facto independnece. There are many areas in real historical Europe where the king only had nominal power, and likewise the duke; areas where tradition obliged that the nobility in practice have no authority over the region, and so on. There are "imperial cities", run by the people and paying only taxes (not vassals, so the Code allows it). And so on.
Of course, there are many covenants, and their status should vary. Some might be secluded in regios, others simply secretive, others placed in the wilderness where no one dares enter, others held by force of arms or fear of the wizard's curses, others held by special grant from a noble or even the Church, others functioning openly as a guild or similar organiation, and so on. What the common arrangements are is a matter for you to decide as a storyguide. I can only suggest that variety be maintained, that the nature of the Tribunal and local conditions be considrered, and also I'd join in recommending Covenants for ideas.