Well, here's my 2 cents from someone who tells my doctor everything from day 1 and was told to do so by him for various reasons:
1) If you do not tell him... then when you come up with high liver enzymes, high blood pressure, terrible cholesterol numbers, and elevated testosterone levels, etc., your going to have to find a way to explain to him why you have those statistics. If you refuse to admit you take steroids, your going to have in your medical history that you have a ton of issues that are unaccounted for, and that you didn't take any medications to fix the problems.
2) Your medical notes never go to your insurance carrier. Your insurance company doesn't even get to see your blood panel work unless you authorize it when it's time to re-up your insurance. The only things your insurance company sees is how many visits you had to the Dr, what kind of doctor it was, and what medications you actually filled at the pharmacy because they pay your co-pays to Walgreens, etc.
3) Most importantly is that your doctor has the medical requirement to treat you when you have issues, regardless of the cause. I get all my PCT from my physician, with him knowing full well why I need them and my insurance covers the Rx fills. If he/she knows why your levels are what they are, they can help you get them back to where they need to be.
4) Someone already touched on this.. Doctor-Patient Confidentiality is above the law, not even a subpoena can be issued to break it unless the defendant wants his/her doctor to testify.
It always feels "weird" to tell them, but they've heard it before. It's the same as telling your Dr you any other drug, no big deal to them. Plus I'd rather take US pharmacy PCT and not pay for it.