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That depends. In Caligula, that's the main plot, me thinks.
Maybe it caters to the voyeuristic nature of people, and/or maybe movie makers exploit this curiosity.
This might be related to the gossipy nature as well. People like to know stuff about other people, and talk about these stuff. And they would gossip about everything they saw or heard, all the aspects of others' life. Sex is part of that.
And while we at life and what it covers, artists deal in the aspects of life, especially with those which involve emotion and/or desire, and a subset of this is sex.
As previous commenter above somewhere said, you can jump over those, fast forward and that's it.