Yukio did have sex with that girl, even the translator wrote a note about it: http://www.mangago.me/read-manga/aka_to_kuro_katsura_komachi/mf/0e9e228c9067485d8bba2dbdc212429c_chapter-13/pg-6/
Yukio didn't deny that he slept with her, he just explained why he did it, for information. Even yamato said about yukio "only plays with girl's who are useful" meaning..yukio only "plays"=have sex, with girl's who are useful, only for information he has sex with them. Ai told yamato about yukio and the girl, and in rouge ch.2 we actually get to see ai talk about how yukio just had sex with that girl yamto and yukio talk about. So in conclusion, yukio did have sex with her, but only to gain information..and Yamato knows that and he doesn't consider that cheating because yukio didn't do it for pleasure. But yamato indeed gets jealous, but its normal. As the translator said..they are yakuza, not a normal couple. They both will have to do things..even sleep with other people, but the most important is that they both love each other!
I DINT LIKE IT...YUKIO THE SEME STILL SLEEP WITH GIRLS EVEN IF HE IS NOW WITH THE UKE (╬ ̄皿 ̄)凸