Congratulations on your baby.  However, if the baby was born in 2019, you can't claim the baby for 2018.  The Health Insurance question would be moot.  If the baby was born in February of 2018, and had health insurance from that point on, you can say it had Health Insurance all 12 months.

My mistake. The question from February 2018 till Dec 2018 coverage. Born on Feb 2018. I saw same question on turbo tax and it is saying that you can not select all year coverage. Can you please let me know, which one is correct? Whole Year or From Feb to Dec 2018?

It TurboTax doesn't allow you to select all year, then you will have to select the individual months from February to December.  Your 1095-B or 1095-C will read that way.