Interspecies relationships are weird, especially in the wake of the First Contact War. It happens, but it's not really sexual and is more of a "love can bloom on the battlefield" sort of thing, where they have an adversarial respect for one another's capacity for violence. But there are some weirdos who are into the sex aspect, even though the alien saliva quickly pre-digests flesh so that blowjobs result in emasculation but hey, you can always resleeve into a fresh body, so there's that.
It's more common for humans to have relations with demihumans and abhumans. Abhumans, despite being engineered to survive on hostile worlds, retain the ability to reproduce with baseline humans for this very reason. Relationships with demihumans are common, but very one-sided. Proper demis are carefully gene-engineered to circumvent moral questions about agency, as they're created to be sold as pets that you can fuck. So a relationship with a demi is doomed to be confined to a certain context. Reproducing with a demi isn't impossible, but very much frowned upon as that reopens those moral questions about creating "people" to be property.
Humans should engage with humans, and xenos with xenos.