If you already slept with Lae'zel it means the tiefling party is over.
And this means no other romances for you.
Welcome to BG3.
I could have started the romances with Karlach, Wyll, Gale and Halsin in act2/Halsin act 3, if I wanted. So not all romances are tied to the party. With Shadow you have to do the wine drinking in act 1 and Lae'zel I don'tknow. Astarions can start in act 2 too according to some other players.
