Who said anything about love? We're talking about sex here. Let me paint this picture for you. Imagine if 99.99% of the people you've ever met, loved, hated, etc. were dead. That is an elf at age 150. Harley is like 30 times that old. We are but pet gold fish to an immortal.
I did, and if he were having the conversation, Harlequin probably would, too. I'm fully aware of the time scale involved; it's one of the reasons, in fact, that I said what I said. Since you're being condescending today, however, and it kinda pissed me off, let me paint you a counter-picture.
You're immortal. You've done everything, tried every kink, had orgies that would make Caligula jealous. You've fucked women, you've fucked men...you've done it all. And, like so many before you, immortal and mortal both, you've made a discovery: Fucking for the sake of fucking is meaningless. Mortal or immortal, you reach a point where getting your dick wet is a chore unless there's really something in it for you. It has to matter if you're going to get it up. The older you get, the less a slave to your gonads you are.
After a while, if there's not love, it's not worth it. And Harlequin does
not love Jane Foster. Matter of fact, the only person he's ever really loved has, in the very recent past, gotten herself dead. Or something; considering some of the magics involved, it's hard to say what happened to Aina. But there was, apparently, a body.
Caimbuel loved Aina; she was probably his only real friend. And they were together during Frosty's tutelage. Yeah, he could have gotten some sort of advantage over his age-old enemy by deflowering his daughter, and that could have made it worthwhile...but it would have been petty and dishonorable, which would not. It's not in his character.