I interpreted that completely differently. I never saw the merging as remotely sexual, but rather as an expression of a certain way of 'hivemind'. Not unlike the Borg, the Changelings only feel right if they exist together. Odo has been cut off of that natural state of being, and the female Changeling shows him a taste of it.
And of course he wants it again, because being unable to merge with anyone else, he feels lonely. A single, instead of the multitude he should be. And that same feeling of being alone, mixed with observing the lifestyle of the solids around him also creates his romantic involvement with Kira. He wants someone he can trust, aka a true friend, to help him feel less singular, and that love thing is the closest the solids have to that.
That's how it always seemed to me.

(I also like to imagine that she presents very purposefully as female because she has observed that the solids trust females more. Of course, in reality the creators just wanted to show a female of that race, but hey... why not make up for their thoughtlessness with my own imagination.)