In this case leaving a paper trail of having accessed unauthorized confidential information looks a lot like being in the wrong, so the potential hassle is a lot higher. You can argue it's not unauthorized after all, and you'll likely win, but you may need to expand time and energy arguing in the first place. And it could be significant.
Edit: In addition, (a) accidentally opening a confidential document -> oops, close immediately; and (b) taking a screenshot could be different legally (NAL yada yada), doing the latter could make it a lot harder to defend yourself.