Its a common practice at most places of employment to keep "confidential" any investigation.  I think requiring confidentiality has as much to do with managing employee morale as it does any particular legal requirement.  But, if the employer enforces its request for confidentiality, it may run afoul of the National Labor Relations Act.  The NLRA expressly protects employees who discuss "terms and conditions" of work.  This protection applies to union members and non-union members alike.  So, if the investigation of a sex harassment complaint is discussed by employees, they would probably be protected.

In fact, the National Labor Relations Board ruled a few weeks ago that an Arizona hospital violated the NLRA when it asked an employee not to discuss an investigation of alleged misconduct.  See San Antonio Express News report.  The commentators in the article may be over-reacting.  These commentators argue that this decision will make it difficult for employers to conduct work place investigations.  It is not likely that the victims of a harasser will discuss the investigation with the harasser himself.  It is even less likely that a victim’s complaints will make its way back to the harasser via workroom gossip.