Covered rogue captivating First Lady (4)
I believe the answer is:
clad
'covered' is the definition.
('clothe' can be a synonym of 'cover')
'rogue captivating first lady' is the wordplay.
'rogue' becomes 'cad' (I've seen this before).
'captivating' is an insertion indicator (captivate could historically mean to hold captive).
'first lady' becomes 'l' (1st letter of 'lady').
'cad' enclosing 'l' is 'CLAD'.
(Other definitions for clad that I've seen before include "Invested" , "Decked" , "Cover with insulation" , "Provided with covering" , "Wearing" .)