In Order of the Pheonix, when Snape was teaching Occlumency, he made sure that Harry couldn't see his humiliation at the hands of James and Sirius. My question is, why didn't he try to conceal the other important stuff such as his true allegiance in case Harry accidentally broke through his defences? This would have blown his cover had Voldemort invaded Harry's mind.
Snape puts multiple memories in the Pensieve:
Snape pulled out his wand from an inside pocket of his robes and Harry tensed in his chair, but Snape merely raised the wand to his temple and placed its tip into the greasy roots of his hair. When he withdrew it, some silvery substance came away, stretching from temple to wand like a thick gossamer strand, which broke as he pulled the wand away from it and fell gracefully into the Pensieve, where it swirled silvery-white, neither gas nor liquid. Twice more, Snape raised the wand to his temple and deposited the silvery sub-stance into the stone basin...
We know that even when there are many memories in the Pensieve, you only see one at a time. We also know from Snape's dying moments that you can deposit multiple memories using only one strand. So it's possible, even likely, that Snape DID hide those memories in the Pensieve, but Harry never got to see them.
Snape may have concluded that the best way to hide his memories was to keep them in his mind as keeping them in a pensieve would have been too risky. Harry sneaking into Snape's pensieve in "Snape's Worst Memory" may have led to this conclusion as well as traumatized him. And if "mediocre" Harry was able to do so, there would always be a chance that others would be able to do so too. Plus, Snape was probably confident in his Occlumency skills.