If you want to play sports, yes. It's basically just a checkup to ensure you're not going to drop dead on the field or court for unknown reasons. Medical confidentiality just means the school/organization can't force your doctor to give them protected health information; they can certainly say "if you don't give it to us, you can't participate in this optional activity" though.
The cynic is me says that a large part of requiring them is to lower insurance payments for the school/org.
Just as professional sports stars need medical care to keep them playing their best, so do student athletes. That's why it's important to get a sports physical.
kidshealth.org