You are covered whilst towing for Theft & Accidental Damage.
For example, if you stop for fuel/food on your journey, and the caravan is still securely connected to the towing vehicle, and is stolen off the back of your vehicle you are covered.
Accidental damage - If you were to clip a kerb, and the caravan flips over you are covered.
Public liability (Third party cover) Example: If your caravan were to collide with another vehicle on the road, it is not covered, this would fall to your car insurance, so always check you are covered for towing.