Discussing puberty, changing bodies, etc, is appropriate. I would find an age appropriate book about sex that explains the differences in the male and female body, things like that.
HOWEVER, mom and dad's sexual intimacy is no child's business! What mom and dad do, whenever or whever they do it is not up for discussion, in my opinion.
We had a lock on our door, but we almost never used it because if the door was closed, it was closed for a reason and that reason wasn't anything we felt we needed to explain. We closed the door when we were arguing, or even just talking, we closed the door when my husband changed his clothes. What was going on was not something the kids even needed to concern themselves with.
This little girl does not need to be in the "middle" of everything the way she thinks she does.
As far as knocking on the door, asking what's going on in the bedroom, letting herself in and pulling back the shower curtain.....her parents need to make her understand that there IS such a thing called privacy and she is old enough to know better. Adults to lots of things in private like talk about bills or an upcoming holiday or even just to have some quiet time to talk about how their days went. Kids don't need to know every single thing that's going on. I would just tell her, when they are in their room, whether the door is locked or not, unless the house is on fire, she can go to her own room or watch TV or whatever....but she can mind her own business.
There were times I heard my parents fooling around even though they were pretty quiet and I'll tell you, I plugged my ears and covered my head up. The LAST thing I wanted to do was see what was going on.
In my opinion, she's being far too snoopy and they should get really firm with her about boundaries now as opposed to later. It doesn't sound like she'll let up voluntarily.
Best wishes.