Sexuality is important in three general ways in Brave New World.
First and most importantly, sex has been turned into a sort of required, low key recreation for everyone. Everyone's supposed to have it, but no one's supposed to get very excited about it. Everything is sexualized, but it is very casual.
Second, the link between sex and reproduction has largely been cut. This is part of what makes the sex so casual (lots of contraception, easy abortion, etc.), but also a way of keeping people from building strong emotional attachments.
Third, because "the Savage" lacks this conditioning, sex is still linked to love and intense, upsetting passion for him. He's therefore out of place in this "utopian" society.