To clarify, here's two situations I had in mind:
1. Your 16-year-old comes home with a box of condoms and their significant other. They want to have a sleepover.
2. You open the door to your 16-year-old's room and see them in the act (having had no idea beforehand).
1. I'd probably raise an eyebrow, and say something like "I'm not sure our house is the best place for your sleepover." Mostly just 1) out of deference to their SO, who would probably find a weekend getaway more romantic, 2) so that everyone involved would find it less awkward, especially if I wasn't able to spend the night somewhere else and 3) I wouldn't trust a 16 year old to clean up properly, and I wouldn't want to have to deal with that.
If their SO wasn't there, I'd probably also have a conversation about "are you sure you're ready for this?" especially if they hadn't been dating very long. I can always pull the "I dated a girl for a year when I was your age, and we never once had a 'sleepover'" card if I really want to guilt them, but I wouldn't push it too hard. Making sex out into some colossal, life-changing thing really just puts a stigma on having real discussions and asking questions.
2.
I can't imagine having no idea before. Um, immediately close the door and walk away. Either pretend that nothing happened or have a very casual conversation if it came up (particularly about safer sex). Maybe buy some condoms for said teen or discuss birth control. I feel there are a lot of ways to approach this without making everyone feel too uncomfortable.