There are at least two major arguments that can be made for this point of view.
First, there is the ethical argument. This argument holds that an organization has an ethical responsibility to see that all of its employees are treated well. This includes holding training sessions to ensure that sexual harassment does not occur in the workplace.
Second, there is a more pragmatic argument. Sexual harassment can cause significant problems for an organization. An organization that cannot (for example) attract and retain female workers because of sexual harassment is likely to suffer because it will not be able to employee talented women. Additionally, organizations that do not conduct training sessions may be more vulnerable to lawsuits if sexual harassment does occur. Both of these factors mean that holding such training sessions can be economically beneficial to an organization.