You know, there is a difference between a roommate and a friend. It's sad to say, but a roommate relationship is akin to a business relationship. Sure, you need to have a harmony, but there is no rule that it be buddy buddy. It's just two people sharing a space and bills.
I think it would be one thing if you had a person who was already a friend move in and they acted all weird, but I don't think you can expect someone you met from an ad or even through a mutual acquaintance to start chatting boyfriend/girlfriend problems and braid each other's hair while in your pajamas. Some people are more comfortable letting down those boundaries and can form friendships quick, but some people just want a place to live and don't want to be bothered.
As for the sex thing . . . I've never had a guy for a roommate, but I did rent space with a girl with whom I went to high school. We were good friends before we moved in together. Because there was no clear definition between our friendship and roommate responsibilities, it ended up becoming strained (and we lived together for several years). In the beginning, neither of us had any problem with bringing home a boyfriend or . . . um . . . boyfriend. As the years went by, I would be careful only to bring over only a person I was having something serious with. She, on the other hand, continued to bring home every one night fling from some downtown bar. I'm no prude, but I started to become uncomfortable with never knowing who the hell's boots were in the living room of our condo when I got up for work. And, she would get loud. It just ended up being gross. That, and some of the unclear boundaries ruined our friendship.
I guess what I'm trying to say (outside of self therapy for getting this out, LOL) is to be careful and respectful of your roommate. Respect his boundaries (whatever they may be) and expect the same in return. If he's private, he's private. If you'd rather live with someone you can be friends with, have a friend move in with you, don't expect this guy to fill that space.