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?
I think that has a lot to do with the limitations of the viewing audience, especially 15-ish years ago. The first time we see Odo link, it's with a "female" and to show us how intimate a thing it is they make it look like Odo is having a quasi-orgasm. But then when he links with Laas, that kind of reaction would be too much for us simple minded solids to process so they make it more "friendly"
Things like rape, murder, theft, etc. are socially defined behaviors designed to maintain order within a society. So what counts as rape amongst humans/humanoids may not be defined the same way amongst a species that is so different. Just like how amongst our cultures things like murder and theft can have different meanings depending on the situation.