They totally have sex. In the Labyrinth episode, where Yuuji was young, Kazuki takes him in the bath and explains what incest is. When they get in the bath and it fades out, Yuuji says that he, "learned a lot from his sister." The fact that Asako thought she took his first time was a misunderstanding from Yuuji's lack of communication. He'd obviously been molested while under the "care" of Heath Oslo, so even though Asako sad she took his first time, she was... well.. a little further down the line. Even if this hadn't been based on an eroge, which I didn't realize it was, that scene when the siblings were young, mixed with the fact she said he mustn't do that with any other girl than her, they had sex. And that Kazuki isn't as knowledgeable as she thinks.
Also, as a side note, I think the fact that Yuuji then thought to himself, "What does she mean by 'those things'," means that he obviously doesn't see what's wrong with it, which makes sense, since he's been having a lot of sex, willing or not, since he was young. Kazuki playing the pronoun game probably just confused him.