Xgboost interpretation: shouldn't cover, frequency, and gain be similar?
Gain = Total gains of splits which use the feature. (In my opinion, features with high gain are usually the most important features)  

Frequency = Numbers of times the feature is used in a model.  

In my experience, these values are not usually correlated all of the time. I have had situations where a feature has the most gain but it was barely checked so there wasn't alot of 'frequency'.  

Also, binary coded variables don't usually have high frequency because there is only 2 possible values. When it comes continuous variables, the model usually is checking for certain ranges so it needs to look at this feature multiple times usually resulting in high frequency.  

For future reference, I usually just check the top 20 features by gain, and top 20 by frequency. If a feature appears in both then it is important in my opinion. Also, I wouldn't really worry about 'cover'. I don't think there is much to learn from that.