Interpolar dinámicamente filas adicionales en consultas SQL

El primer paso sería agregar un RowNumber columna para identificar la primera fila para cada PorfoilioGroupID:

SELECT  p.PortfolioGroupID, 
        p.PortfolioGroupCode, 
        p.DisplayOrder, 
        p.MemberCode, 
        m.ContactCode, 
        m.Custom01, 
        RowNumber = ROW_NUMBER() OVER(PARTITION BY P.PortfolioGroupID ORDER BY m.ContactCode, p.MemberCode)
FROM    [APXFirm].[AdvApp].[vPortfolioGroupMemberFlattened] p
        LEFT OUTER JOIN [APXFirm].[AdvApp].[vPortfolioInterestedParty] m
            ON p.memberid = m.PortfolioID
WHERE   m.ContactCode is not null
AND     p.PortfolioGroupCode like '%_Package'
ORDER BY m.ContactCode, p.MemberCode;

Luego, puede unir su conjunto de resultados con un constructor de valores de tabla con sus 3 valores (Cubierta, Sperator, Informe) y simplemente agregar una cláusula where para asegurarse de que 'Cubierta' solo aparezca para la primera fila:

WITH Data AS
(   SELECT  p.PortfolioGroupID, 
            p.PortfolioGroupCode, 
            p.DisplayOrder, 
            p.MemberCode, 
            m.ContactCode, 
            m.Custom01, 
            RowNumber = ROW_NUMBER() OVER(PARTITION BY P.PortfolioGroupID ORDER BY p.DisplayOrder)
    FROM    [APXFirm].[AdvApp].[vPortfolioGroupMemberFlattened] p
            LEFT OUTER JOIN [APXFirm].[AdvApp].[vPortfolioInterestedParty] m
                ON p.memberid = m.PortfolioID
    WHERE   m.ContactCode is not null
    AND     p.PortfolioGroupCode like '%_Package'
)
SELECT  d.PortfolioGroupID, 
        d.PortfolioGroupCode, 
        d.DisplayOrder, 
        d.MemberCode, 
        d.ContactCode, 
        d.Custom01, 
        t.PDFType
FROM    Data d
        CROSS JOIN 
        (   VALUES
                ('Cover'),
                ('Seperator'),
                ('Report')
        ) t (PDFType)
WHERE   d.RowNumber = 1
OR      t.PDFType != 'Cover'
ORDER BY ContactCode, MemberCode;

Ejemplo en SQL Fiddle