Depends. If like Essendon and you're pretty sure that you did nothing wrong, but are dealing with the perception that you did, you'd want to clear your name. Hence, you help the investigation along. If you're pretty sure you crossed the line and are looking at club destroying penalties, you circle the wagons and demand that they prove it. Even if people involved in Cronulla are eventually found guilty in 5 years time, their career would be over anyhow, and who cares about penalties.
Sure the record books don't say that Lance Amstrong won 7 tours, nor did Storm win those two flags. However, they did on the day.
By the time the penalities come to pass, it wont hurt Cronulla as they'll have turned over the list a fair bit.
If the club is complicit in covering it up and they prove it, they can pretty much destroy it ( the club ) if they choose.