I always saw it as he was more embarrassed that he invaded her personal space and found out. He watched mages have sex and felt neither urges or embarrassed by that.
But to be fair, nothing was said about whether he felt urges or embarrassed, or not. I do recall it being stated he had witnessed that sort of thing a lot, and I'll repeat what I said earlier. Take a normal adult irl. With anxiety, depression, or some mental illness like that. They become numb to certain emotions and feelings, especially sex drive and "urges". That's kind of how I see Cole. He was in a dark, lonely place at the time. He's hardly going to get a rock in his pants is he lol?* He had bigger issues cluttering up his mind. Just my take on it.
*excuse my vulgarity.