That makes sense, and personal safety should be a priority. But, when it comes to protecting the interests of companies, religious organizations, for example - the idea that protecting the organization over reporting criminal behavior to the proper authorities, has been what has happened in the cover ups within the Catholic Church and other religious organizations. If children are harmed, and people are reporting that to you because you are in a position to report the perps, and you do nothing, that is illegal. That is why the Church has been going through endless litigation over the years.
So, in some cases, it can be seen as merely a moral dilemma, but in some, we have a legal responsibility to do the right thing.