It may seem sexual to us because we see sex as a mutual joining of two bodies. Perhaps in some instances it IS sexual, and in others it's not. It's all based on context. I have no doubts that it might feel intensely pleasurable.
When he links with the Female, they clasp hands, and Odo starts closing his eyes like it feels good. When he linked with Laas, the gesture was more like a handshake, and Odo's expression remained neutral.
I know I mentioned this before, but when I rewatch "The Adversary" where the Changeling tries to force a link on Odo--if linking is seen as sexual, then wouldn't forcing it on another Changeling be akin to rape?