When Odo links with the Female Founder, they're clearly having some kind of a sexual relationship. However he also links with another changeling who's taken a male shape, and in that instance it's equally clear that the communion is of a different nature; simply the relief of existing for a few moments in the state that you're meant to exist.
I find it quite confusing. In their natural state, they don't really have different sexes, they do not even distinguish individuals, they're an amorphous mass.
So how come they don't all appear as sexless "neutral" shapes when they take humanoid form?
Plus the process of linking cannot really have sexual overtones most of the time, or else the entire race would exist in a permanent state of group sex, with the Great Link just being one big orgy...