Isn't everyone's sexuality their own business? Why should the question ever have been asked of Thorpe in the first place?
He was an identity because he was an exceptional swimmer. Why couldn't people just be glad about that, appreciate his efforts for Australia amongst his personal success, and be quite incurious about what he does in his personal life as long as it doesn't cast disrepute on his co-team members etc?
Who knows why he decided to declare his orientation now? Perhaps he just read or heard one stupid homophobic comment too many. There does come a point in a situation, which is deeply personal and which one would usually keep private, where the stream of nonsense finally provokes disclosure, just to bring a measure of reality to the discussion.
If we're talking about integrity, I think it has nothing to do with whether or when he decided to quell the endless questions once and for all, but perhaps a little to do with the large fee he accepted for the disclosure.
But that's his business. I expect most sporting celebrities eventually find their attractiveness to sponsors concludes, and he has the same need for money as anyone else.