When Arthur, Dutch and the rest of the gang waiting for the train to arrive. Dutch asked everyone to cover their faces with the Bandana, saying “Okay, cover your faces. Train should be here any minute now.” . The mission won’t start if Arthur won’t cover his face, it’s also tricky as there is very little instruction how to do it. The instruction only says Hold L1 button to show the Weapon Wheel. We probably take almost minute to figure it out.
To cover Arthur Face with Banda, you need to Hold the L1 button, then press R1 to open Items Wheel, then point to the lower left corner to Bandana, then release the L1 button to wear it.
Now, you and the rest of the gang can continue the mission and ready to rob the Train.