I know many Masons who are in AA. Just sayin'.I can think of a number of situations where someone wrongs somebody else, and the victim is embarrassed that it happened. If you are a victim of a scam, physical or sexual assault. The person may have victimized someone you know, but that person doesn't want the information shared - unfortunately there can still be stigma associated with being a victim.
You may also know the person to be a complete a-hole, liar, or what have you, but you know the person through something you want to keep private. Maybe through group therapy, or AA, or a local Dungeon and Dragons club.
Ideally, one should be able to completely trust the WM, or any other Mason, to keep your secrets (per their obligation), but Masons are people, and people make mistakes. In addition, even if you trust the WM to keep the secret, you may be afraid of being judged by the WM. Being a Mason or a WM does not cure us of all our biases and prejudices. There are things about myself and experiences I've had that I might not share.