The cultures these men came from were quite different from modern North America. Unlike our own, neither culture defined a person by their sexual orientation. A Roman man was not expected to limit his sexual partners to women. Upper class youths were provided a male slave (concubinus) to fulfil their sexual needs, no matter which gender they might have preferred, a custom which probably came about due to uncertain birth control techniques. Boys, youths, and other men were perfectly acceptable partners for adult men. (Modesty was expected from boys and youths.) To be active was to be male, regardless of the gender of the passive partner. (It should be noted that falling madly in love was thought to place a man in a state of moral slavery, a shameful loss of self-control.)
The popular attitude was much the same in Nicholas's culture, in that it was the "passive" partner in a sexual act between two men that was seen as feminized, and therefore, demeaned. The "active" partner's participation in this act in no way reflected on his status as a "man." The Church in Western Europe during his time was beginning to view sexual acts between men as more heinous than other forms of sodomy (ie. any sexual act between partners of any gender which cannot result in a pregnancy), but Western Europe had not yet become gripped with the notion that homosexuality is the most horrible of sins. And even once it had been, the "passive" partner was more severely punished than the "active" one for the same incident. (Though it is interesting to note that a religious ceremony for solemnizing a same-sex union, which paralleled in form and content the more "ordinary" marriage ceremony, existed in both Western and Eastern liturgies before and during Nicholas's mortal days and for many centuries after that. Marriage among the Romans was a legal arrangement, not a religious rite, and men could legally marry one another. Another common legal arrangement male Roman lovers made was for one to legally adopt the other as his brother. "Brother" or "sister" were terms of endearment between lovers and married couples throughout the Mediterranean world, as exampled in the Song of Songs of the Torah and in the Satyricon by Petronius Arbiter, where a woman attempts to seduce one of the protagonists, who is one of a pair of devoted male lovers. She says, "You have a 'brother,' (frater) I realize: for I was not too shy to inquire. But what is to prevent you from 'adopting' a 'sister' (soror), too?" (In the flashback for Dark Knight, Lacroix answers Nicholas's statement, "You've made me a murderer" with simple sincerity, "I made you a god, I made you eternal. I made you my brother.")
Both these men have passed through many cultures over the centuries and they have passed through them as vampires. Not only have they been exposed to and had to adapt to a wide variety of customs, they have done so as beings of a highly sensual nature. It has been established "canonically" that drinking a mortal's blood is a very intense experience, even erotic, and both of them have fed from men, with a great deal of relish, as evidenced by Nicholas in Blood Money and Hunted. It would seem reasonable that centuries of feeding off both men and women would begin to blur the lines of one's sexual orientation, no matter how rigid that was as a mortal. This could be both from experiencing, however temporarily, their victim's sexual preferences, and the vampire's personal sensual enjoyment of the mortal, whether male or female. Also, as an immortal, with a lot of time on one's hands and a sense that mortal mores do not apply to one, the desire to experience new things, to experiment, especially with pleasures, must be great.
As stated before, the Unnamed Faction has no one "official" view as to whether Nicholas and Lacroix are or ever were "lovers," let alone if they've ever had sex. And if one believes that they ever did have sex, the interpretation of the characters' motivations and the acts following from them vary greatly among the UF's members. Also open to debate within the UF is whether Lacroix and/or Nicholas "left their mortal lives behind" and moved away from their cultures' views that to be the "passive" or receptive partner in a sexual act was demeaning or unmanning.
(Above speculation fueled by Will Durant's Caesar and Christ and The Age of Faith, A History of Private Life from Pagan Rome to Byzantium, edited by Paul Veyne, and Same-Sex Unions in Premodern Europe by John Boswell.)