This stuff is well documented: see Comp City, those Travel Channel shows etc.
Casinos don't tell whales that play well they can't come in, they just suddenly 'can't find agreement' on the terms of the contract that is being requested.
There is no magic bet threshold at which cover acts are meaningless. If you are playing tens of thousands a hand, even for those making obviously poor playing decisions, you can still expect your own personal pit boss watching every move, if it's just to protect the casino from a dealer payoff mistake.
Casinos may not know the extent of your bankroll. You are only attractive to them if you still have one! Remember, a small theoretical long term advantage can (as we all know!) often go against you big time in the short run. If a high roller experiences this, it may be the end of his bankroll. If the casino experiences this, it is balanced by the losses of other players. Casinos know that if you keep playing, sooner or later you will experience a bad short run. The key to being invited back is how you react when this happens...