I never thought to hide it from my kids that dh and I bathe together at times.....but generally if more than bathing is going on we wait until they're asleep.
I don't happen to agree with the locked door comment either....as long as proper precautions are taken to be sure the kids are safe, and the lock is on your side....its no different than a closed door, it just guarantees that they can't enter without making themselves known. Of course, every parent needs to use their own judgement based on their knowledge of their child.
There are kids clubs at several resorts....Neverland Club at the Polynesian, one at the Beach Club, and I think WL and AKL have them too. We've never had the chance to try one....10 days after my second child turned 4 we had the baby.