It really happened, but it's not certain who did the shielding. It was either Accardo or Rio. Traditionally it was said to have been Rio, but Roemer claimed that he overheard a conversation that pointed to Accardo. I have Accardo's FBI file and haven't found the conversation he referred to, although not all of the transcripts are in the file. So for now all we know is that it was either one or the other.