You can most definitely have romance without sex, as well as you can have sex without romance.
I think the game is currently seeing friendship as something lesser than romance and a lot of things are locked in the romance tracks. For example the "How are you feeling?" question which you can use to ask Gale about his mental well being and his thoughts on the Crown is within the relationship menu. It's a bit odd, since I'd assume a good friend would also be interested in this - and why shouldn't he be able to plot getting the Crown with a good friend either?
