The question is described the title, let me write it again here:
Let $X$ be a compact metric space and let $K$ be a closed subset of $X$.
Does it follow that the covering dimension of $X$ is the maximum of the covering dimensions of $K$ and $X\backslash K$?
For metric spaces we have $\dim(M)\leq \dim(X)$ for any subspace $M$ of $X$.Thus the inequality $\dim(X)\geq\max\{\dim(K),\dim(X\setminus K)\}$ is clear. I don't know why and whether the converse is true. I would be happy to a reference or counter example.
Thanks
Corollary 1.5.4 in the classic "Theory of dimensions, finite and infinite" by Engelking is the following theorem, a corollary to the sum theorem 1.5.3 above it:
From this a positve answer to your question immediately follows (knowing some extra things):
Taking $A_1 = K$ and $A_2=X\setminus K$, which are closed (trivialy $F_\sigma$) resp. open (so $F_\sigma$ in any metric space), and if you like we can take $A_i = \emptyset$ for $i \ge 3$. Also, $X$ compact metric implies $X$ separable, and $\operatorname{ind}(X) = \dim(X)$ (the coincidence theorem) for $X$ separable metric, and we can take $n= \max(\dim(K), \dim(X\setminus K))$.