Having nearly died so many times, Rex gets an additional thrill coming close to real danger during sexual encounters but knowing that it isn't the case. This sort of thing requires a lot of pre-established cr on his end, and he's not sadistic to the point of wanting to hurt someone who does not have superpowers or extensive experience in combat. That being said, it turns him on to know that anybody either trusts or wants him badly enough to inflict that kind of "punishment" on them.