I think sex is very unlikely as you've outlined, but masturbation is far more likely
It makes sense if you view Elsa's ice powers as representative of her sexual feelings towards Anna
When they were kids it was harmless to play around and have fun with it but as Elsa grew older she realised that the feelings were potentially dangerous and could damage her bond with her sister, and so just like with her powers she had to conceal it
To do this she shut Anna out because she so feared hurting the one she loved she just took away any interaction so the feelings, or her powers, couldn't manifest as she was struggling to control it. This is probably where guilty wet fantasies of Anna started to come into play.
To keep the analysis of her powers, when she finalls 'lets it go' and runs away she can be true to herself and acknowledge the feelings towards Anna without having to worry about anyone judging her, the years of repressed guilt and torment exploding out in her icy castle
Then when Anna comes to try and help the fear comes flooding back so suddenly that she ends up hurting her, eventually making her think she caused her death and she sees the consequences of what trying to repress your feelings leads to.
It's only when Anna throws herself between Elsa and the blade to save her sister does Elsa realise that the key to controlling her ice powers, and thus her feelings, is the love that Anna reciprocates (as only an act of true love could stop the ice from killing her)
It's clear that there is something more between them