Why not 2cov in this question?
Because as your covariance-variance matrix shows the covariance is 0 between them. 

The question e asks you to use the “true” covariance matrix from d presumably.

It’s not that you exclude it, that’s sort of misinterpretation, it is just zero ($cov(R_1,R_2)=0 \implies 2w_1 w_2 Cov(R_1R_2) =0$) and per convention zero is usually dropped from equations.