Earlier quoted context omitted.
I've seen P&T's show in Vegas a few times, and I've seen many of their TV appearances. They do explain how illusions work, but they don't spoil other magicians tricks. They will do an old classic, show it from the "other side", and then while you aren't paying attention they pull off something new, giving no explanation for that one.
I just saw an interview with Penn wherein he stated that they have been thrown out of The Magic Castle, et. al for revealing tricks. Given their popularity, I'm sure they've been allowed back in. :-)
It would make more sense if perhaps P&T were "uninvited" from the UK's Magic Circle, which is a very different, much smaller and entirely unrelated private magic club. The Magic Circle only very recently started allowing female members, so I'm pretty sure P&T would be delighted to be banned there.