Jejeje, I saw it on the raws first, and I thought the same as you without context, but they're actually doing something similar to dual cultivation in order to heal and share powers. It also has something to do with that magic water that Jae carries with him. When Ryeo drinks that water is like an aphrodisiac, and he also needs Jae's cold energy to be able to handle the power of that water, something like that ( ̄∇ ̄")

I love them but how is sex the first course of action after basically dying and still being mortally wounded