Yes. An employer will, of course, know what you are paying each week or month into the credit union. This is because they are managing the payroll deductions. However, they would not know if this was savings or a loan.
We would not normally contact your employer and would only do this with your agreement. The one exception is if individual defaults on a loan and leaves the organisation. In that event, we would reserve the right to ask their help to get in contact with you.