You're confusing the magic castle with the magic circle...

It's the Circle that has strict rules about not revealing tricks. If they're Academy of Magical Arts members their access to the Castle is guaranteed.

Or maybe they’re confusing magic castle with white castle. It’s an easy mistake to make, although I suspect it’s harder to get thrown out of white castle.

The Magic Circle is a private magic club in London England. The Magic Castle is a private magic club in Hollywood California. The Magic Castle has a restaurant and regular magic shows by professional magicians in three theaters. The performers change weekly. Members of the Magic Castle can give anyone Castle guest passes to go for dinner and shows. In practice, this allows almost anyone who really wants to go to the Castle to get in as they aren't very restricted. I was a member of the Castle for over a decade until I moved out of the area and still have many friends who are members. I haven't checked lately, but in most eras, if you just called the Castle office and asked very nicely they'd send you a guest pass. I'm sure Penn and/or Teller have wanted to go to the Magic Castle, there'd be no issue.

The Magic Circle is quite different. It's not generally open to the public and is, frankly, quite old fashioned. It was only very recently that they even started permitting female members. For that reason alone I doubt that either Penn or Teller would ever want to go there. They'd probably be more likely to actively protest against the Magic Circle (at least until recently).