Other mistake: During the flashback of the soldiers executing the Dachau guards, the soldiers are in a line opposite the guards who are in a line against a fence. The soldiers all start shooting at the same time, but we are shown the guards being mown down by gunfire in succession, like dominoes, rather than simultaneously.
Other mistake: When Teddy and Chuck are smoking under the portico roof during a downpour, they are first shown from the back and are completely in shadow, from head to toe. The shot changes to the front and their head and shoulders are lit from above. This would have been seen from the back as well as the front if it were intentional.
Answer: The bandage is a symbol indicating when and when not Teddy is caught in his delusions. When the bandage is on he is delusional, thinking he is the marshal finding out all the dark secrets of the facility. When the bandage is absent he is lucid and aware of his past crimes and his own delusions.
Wrong. It's on the whole movie until he takes a shower. The bandaid is off but yet that's the scene where he runs in the lighthouse thinking he's the Marshall still. Did you watch the movie at all?