I couldn't care less whether or not the UFOlogists would dislike my use of the term "AFO", Wolfgang. :-) And, yes, there are many possible explanations (including some hilariously unlikely ones, like the Nazi one).

I think it is quite understandable that the military and the top level of government decided to keep these visitations (whoever they are from) secret. They first began to take serious notice of it in the late 40's. At that time they had just finished fighting a great war and were embarking on a cold war which might lead to an even greater war. They were used to thinking in terms of military dangers, airspace violation, and so on. Paranoia was the rule of the day.

It was natural that they would fear incursions by unknown craft into their airspace, and consider it a secret matter. Until they had a way to control those incursions they would not wish the public to know about it. Would they want the public to know that the entire modern military was completely helpless to do anything about the situation? Certainly not. Would they want the public to know that they had no real explanation for the situation? Probably not.

Military officers at Roswell DID give a press release announcing that they had in their possession a "flying saucer". I have seen copies of that press release. It got as far afield as the British newspapers. Very shortly afterward the same officers contradicted their original story, in an attempt (successful) to defuse further media interest in the matter. They also persuaded civilian witnesses to recant...or in one case to say, "I'm sorry I ever said anything about it" (and believe me, he was sorry...because he had been put under great duress by government agents to either lie about what he saw or SHUT UP).

Military and government people are afraid of things which are completely beyond their control, just like ordinary people are. They want the public to have the impression that they are well in control at all times. They legitimately fear a public panic, and they also fear their own loss of face and moral authority.

The longer they cover the matter up, the more they have to fear in terms of being shown to have lied. One lie requires countless more lies to sustain it. So, the coverup continues.

And people believe, basically, what they are emotionally inclined to believe...unless they have a personal experience which completely alters their perception of the matter.