Showing that you know how to keep a secret shows that you're trustworthy.
There are also certain rites of passage that are more striking if you don't know what to expect (but it's always benevolent).
Also, as it's a place where speech is totally free, it makes it easier to open up.
For example, if we're having a discussion about LGBTQIA+ rights, I can share my experiences as a bi person to enrich the discussion, and I don't have to worry about being outed.
Finally, in Europe, the memory of Nazi persecution is still vivid, and today's far right hates us too.
Secrecy, or at least discretion, is a protection.
But I have to admit that it raises suspicions and feeds conspiracy theories.
So secrecy has its downside