Are they almost always kept confidential? Or is there protocol for sharing them?
In all journals I have encountered the reviews are kept by the journal through either an electronic submission/review system (digitally) or in paper copy (if they do not have such a system). In the electronic systems it is usually possible to view ones older reviews but not view other's.
The question whether these are confidential or not is far from clear in general. I would, however, venture to state that a review is treated as confidential unless explicitly stated otherwise, i.e. clearly stated to authors, editors and reviewers (remember that the review comments received may include overruling comments by the editor). Such is obviosuly the case with some journals with open discussion formats.
To some extent the confidentiality issue is new to me because in my field everyone pretty much assume reviews are. I have not heard of anyone trying to push for publicising a review (again, in my field). It would probably not go down well if it happened without consent from the parties concerned. It seems this is a sector that is largely unregulated other than in general terms and understanding.