tl;dr WIP: sexuality/love (and on playing Allen in a sex game)
In a nutshell? Allen is an ostensibly straight, asexual, semi-corrupted not-quite-Victorian prude with no time/interest that suffers from shounen protagonist syndrome. Doesn't give it thought but if asked why he's single he'd fluster and say something about how he doesn't have the time for a girlfriend (a bit of an alien concept to him personally, really). He's only shown very mild (rare), never-acting-on-it attraction to girls. It never interferes with friendship--or well, anything else. Above all else he is platonic. But--he is also a teenage boy. He just brushes that aside. Lalala, nothing to see here.
In a more technical sense, he's close to being demisexual in the sense that emotional connection is directly tied to it. The idea of separating sex from romance--well, it's wrong to call Allen a romantic, but he sort of is in his own way of redefining what that means. He defends the idea of people caring for each other--platonic or not. Purity of feeling and loving someone (again, love platonic or not and---there kind of isn't a difference for him) is the most important thing, and while at joining the game he has yet to ever consciously consider how sex falls under that... Partially as well from seeing his master as a prostitute-loving womanizer and never wanting to be that, sex that isn't an act between two people that love each other would really, really rub him the wrong way. Sex that's cheap or casual--it's cheapening the feelings then. All of this is subconscious to him at the moment, but a world where they're expected to just go out and have sex and it's just a carnal act would really ruffle his feathers. ... Badly. Violate a really core principle for how he lives.
And while, at joining languishment , he's a virgin prude, he's not an idiot, all that naive or innocent as a lot might presume, or really that unfamiliar with... a lot. .............. When it's not going over his head thanks to some massive knowledge gaps.
There's a a good chance he spent time half-raised in brothels as a young teenager. Certainly at least he's familiar with how Cross would have mistresses and spend time with brothels (or at least their owners); the implication being living with whoever was his hostess. Sex is not something he's unfamiliar with and he probably knows some things (or has some very wrong misconceptions--combined with the rest of it blissfully flying over his head) that would make people that know him boggle. It's almost certainly part of his traumatized nostalgia from time spent with his master. Likely makes him more of a kneejerk prude just to rebel at that lifestyle.