From his appearance on NPR's "Ask Me Another", Penn detailed that while there is no requirement to do so, most contestants reveal it to them afterward.
(For those that actually open the podcast, the segment with Penn's interview begins at 14:40 of the podcast. The section quoted below comes from closer to 22:43)
Ophira: And do you find out how the tricks that fool you are done?
Penn: There's no formal way of that, but I'll tell you as soon as we
finish the guy runs to our seats and goes "Yeah! It was a double face
card and a rough smooth! I was so sure you were going to bust me!
It's just a double facer!".
...most people, because you're jacked up on the show and your mind -
you run over and go "I'll tell you everything!"