Wees are OK, but we both close the door for a poo.
However, DCs can be in the room whatever I'm doing.
DP locks the bathroom door when DS1 is around, as he's not his son - doesn't want him to see him naked either.
(I will watch with interest to see if he's more relaxed with DS2 as he grows, or if he's just naturally prudish.)
My parents were always fine with nakedness and wees & poos, their way of making sure me and my brother didn't have any hang-ups. Although I'll admit it was weird when I visited my dad at the age of 26, couldn't find him anywhere, until he said "I'm in the bathroom, come on in" and there he was in the bath with his willy floating around. Nothing I hadn't seen before, just not for about 10 years!
Oh, and DP thinks the Fart Game is hilarious, and will happily try to fart on DS1's head.