I don't think making "romance" options playersexual means they must inherently lack depth. There are so many other facets of personality that can be explored that it doesn't need to be a defining trait.
For example:
Are they introverts or extroverts?
Do they think ahead or do they "fly by the seat of their pants"?
Are they empathetic to others pain/suffering or do they enjoy it?
Are they stoic or expressive?
Are they introspective or rooted in the sensory world?
Is their humour silly, dry, or non-existent?
Are they thoughtful or selfish?
Do they prefer to do things in a structured, consistent way or are they mercurial?
How do they deal with stressful situations (anger, humour, anxiety etc.)?
Is their decision-making pragmatic or emotional?
Do they like being the centre of attention or are they private?
Those are all extremes, so they might be one way in one situation but not in another. Why? Those are just a few of the things that could be explored to define someone's personality and flesh them out.