The capital doesn't want the districts to know about each other because they do not want the people to team up against them. There are far too few capital troops and peacekeepers to hold back a full scale rebellion if the districts were to join together. Each district is made to feel isolated and alone. The people focus on survival rather than the injustice of their situation. If the people from different districts were allowed to communicate and share experiences, they might start to question why they were being forced to live this way. They might also start to notice that some districts had a better life than others. They would begin to wonder why district 2 had more food and permission to train tributes. They might wonder why district 11 was so strict and constantly suffering punishment. Oppressed people meeting other oppressed people can lead to revolution. Keeping the districts isolated and distrustful of one another helped keep the citizens at bay.
In the novel The Hunger Games by Suzanne Collins, the Capitol doesn't want any of the districts communicating or learning about what is happening in any district. After the rebellion of District 13 which was put down and destroyed, the Capitol wants the districts ignorant of each other so that no coalition of districts can form an uprising against the Capitol's total domination of the people and the districts. The annual tribute games continue as another way of keeping the districts divided as the districts' girl and boy fight against other districts and each other to be the lone survivor of the games which rewards the victor's family and district. Remember 'divide and conquer' or the opposite, 'in numbers there is strength'. The Capitol prefers the former and wants to prevent the districts discovering the latter.
The Capitol doesn't want the districts to learn about each other because they don't want the districts to band together to go against the Capitol. This benefits the Capitol because it helps them keep control of all the districts and it gives them power over them since they have information on the districts.
The Capitol doesn't want the viewers to learn about the other districts because at that time when the uprising started, if the others took heed and joined in like the other districts, they might create an uprising on their own based on the hope they saw from the other districts.