I figure anything the companion/grog finds that has interesting powers (especially if they utilize non-Hermetic principles) would be confiscated by the covenant magi, and there a very few ways for a companion to find and acquire items that some magus couldn't have done already (likely much more easily). That sort of rules out "finding them on quests," though certain gifts or rewards received on quests might be able to avoid the grasping hands of magi. (Loot has little such luck.)
Redcaps (theoretically, at least) have the same legal rights as magi in terms of ownership of found and acquired items, and they earn items over time anyway. Certain tame nobles might be able to wiggle their way into less rigidly-upheld but equally beneficial positions. However, to classify a Redcap or a noble as a covenfolk is certainly a stretch.
An enchanted sword or something as a reward for good service can be expected from the most kind-hearted magi (or those willing to spend seasons and vis on seeming kind-hearted) but those generally have, like, level 20-25 effects at the very most.
So... In what ways (outside of stealing and/or hiding items from their magi) do you think covenfolk (especially companions, because it would be somewhat worriesome to give a grog a strong item anyway) could acquire and hold onto stronger items than little trinkets like Swords of the Razor's Edge? How far could this be taken? Am I, in fact, wrong in assuming that most magi (with PCs probably making up the bulk of exceptions, and maybe not even them) would almost never allow a grog or companion to keep any supernaturally-impressive loot? Share your thoughts!
Why would a magus take them away? Companions are generally friends or family members, people you WANT kept safe and powerful. Grogs are useful ablative meat, meaning the longer they last the better off you are, and if you can duplicate the effects, the only time you'd confiscate them is if you were issuing them to someone better qualified to use them. (Such as a device that for some reason needs finesse).
Otherwise, the only reason to take magic items off people is to investigate them.
No matter how powerful magi are, if they keep taking items found by grogs and companions, how long are they going to keep a retinue ?
Most of the time, magi are in their lab. And the more independant and powerful are their companions and grogs, the more magi can spent time in their lab and trust the turbula to take care of the daily troubles.
Empowering servants with items (quality, minor or fully enchanted) is a way to guarantee they can do their job without needing to knock at the labdoor of the magus.
As BlackLiger wrote, they might ask to investigate an item, but unless it is extremely powerful and/or unfit to stay in the hand of a companion/grog (need to keep it safe for example), they won't take it away.
Also, there is plenty of items they don't care because a) they won't use it (most weapons) or b) they can replicate the effect with a spell.
If a grog with a keen eye has been training Finesse effectively, give him the wand of pilum ! That's one more source of damage the enemy has to deal with instead of just the magi.
Grogs and companions are not idiot, they know or will quickly learn that magical items are very valuable, so they won't be careless with them (altough it could be a nice hook to start a story) and will only carry them when they feel they might need it.
And it works both ways as well: a grog might not want to keep this amulet which allows the spirits of the dead to whisper in his ears constantly, but knows that his Criamon master will be very grateful to use it as a lullaby...
It also depends on the relationship between the magi and covenfolk.
If the magi consider their grogs to be serfs, and they don't want the grog to have a particular magic item, they just take it because a serf doesn't even own himself, much less anything he's carrying. On the other hand, a magus who's stealing the magic sword off of a knight is going to send a red flag to all of the covenant's covenfolk companions that, hey, the magi are a bunch of avaricious thieves and why are we working for them again?
(And if magi want to rule their covenant by naked terror, that's fine. Hope their defenses are up to date.)