I just played a game where my opponent had Valgovoth in play. Then cast Deadly Cover-Up. They collected evidence and exiled my Haughty Djinn, and the other three copies of it. However my Abhorrent Oculus and my manifested land also went to exile. Unless there was a recent rules change, Valgovoth shouldn't be exiling cards if he also dies ("goes to graveyard from anywhere" requires the object to stay in play to see it, where as "dies" or "goes to graveyard from the battlefield" can see things dying ay the same time they die).

Edit: here's a copy from the Gatherer page for Bloodchief Ascension, and how it operates due to the wording "from anywhere"

"01/10/2009 Bloodchief Ascension's second ability doesn't behave like a leaves-the-battlefield triggered ability, since the card put into an opponent's graveyard may come from anywhere. If a Bloodchief Ascension with three quest counters on it and a permanent an opponent owns are destroyed at the same time, for example, the game will not "look back in time" at the game state, and Bloodchief Ascension's second ability won't trigger."

Are you sure there's no reason? There's many cards that cause opponent's creatures to be exiled when they die, such as Etching of Kumano.

Creatures being exiled instead of going to graveyard for no apparent reason.