It's a CYA notion. If you can't succeed, at least make the effort to paint things to make yourself look good. Kind of like some on the left would charge of the Bush administration.
Probably originally comes from a story in Decameron where the guy commits all sorts of attrocious crimes, but on his death bed pretends to be a saint. After his death, he is honored like a saint.
That one's a little too ... well, "accessorize your funeral" is purely egocentric. "Never let them see you sweat," is egocentric. "Never let your enemy see your weakness," is a valid strategic concern that, situationally, can often be said to be appropriate.
