It makes a difference if HR is being asked to sit in on all reviews or only those from a specific reviewer for for specific individuals.
If they are sitting in on all reviews, there may well be a complaint about the review process itself and they are investigating it. Or they may feel that the managers are in need of advice about what they cannot say or they want to get a feel for how the company is doing things if the HR person doing this is new. There may be something confidential going on in the company and want to make sure it doesn't accidentally leak during the discussions. For instance, suppose you are int eh process of being bought by a larger company, but that is not announced yet. HR may want to make sure no manager tells someone unhappy with the amount of their raise to stay because their stock options will soon be worth much more. This would be a legal issue and could kill the whole deal as well as have some people go to jail. They might just want to be able to testify that it didn't happen even if they don't think anyone would. It might even be something legal that you at your level are not aware of but they are protecting the company.
If it is just one manger who has HR looking at things, then likely he or she has had a specific complaint brought up. If you are the manager, be very careful what you say.
It is a common practice many places for an HR rep to be present if the performance review will be negative and the employee is in danger of getting fired. They want to make sure that the manager does nothing to give the employee a case for a law suit. They are a witness to what was said as well. And the presence of another person may make the employee less likely to react violently.
In any case, as the manager, you may wish to talk to the HR person beforehand and get a feel for what they want you to say and what they want you to avoid. HR is there to protect the company in some way and that should be your goal as a manager as well so you need to know how to best protect the company.
If there are issues you want to discuss privately (and they didn't come under the heading of what the HR rep told you not to say), then managers are allowed to meet with their employees any time. A good manager talks to each employee at least once a week. There is plenty of time for them to bring up delicate subjects or for you to get a feel for how they feel about delicate subjects. The performance review is not the place to do this.