Only they all advance the plot to some extent. In most romances, the reader wants to be reassured that the couple are sexually compatible. Plus, when it's done well, reading about sex can be fun.
No, the real problem with sex scenes -- at least, my real problem with the sex scenes in the books I read -- is that all the protagonists' personality leaves the room when the clothes come off. To my mind, the challenge of a well-written and fun-to-read sex scene is to make it sexy in ways that are consistent with the characters' lives, thoughts, goals and personalities.
What I read, though, is usually a lot flatter than that. The hero and heroine become generic, mere bodies in the dance. It's like there's a downloadable Mad Libs for sex scenes:
Hero's name ran his body part over Heroine's name 's body part creating a delightful friction. She trembled all over, arching against his body part , tense with her passionate emotion for him.
"My personal term of endearment ," he murmured, pressing his body part along the length of her body part . "You drive me adjective of passion with noun of passion ."
"Oh, Hero's name , period appropriate euphemistic verb for sexual act me now."
He different period appropriate euphemistic verb for sexual act, past tense her adverb suggesting sexual prowess , different adverb suggesting sexual prowess , bringing her to a period appropriate euphemistic noun for orgasm before he period appropriate euphemistic verb for orgasm, past tense himself.
If I've inadvertently violated anyone's copyright, I apologize. And to the nice folks at Penguin Group, parents of Mad Libs, I very much apologize for parodying your trademarked product. Here's your widget so that people can play with the real thing (so to speak):