It all depends to what extend are you willing to have an intimate relationship with your government (U.S). It has been documented that the CIA have asked these types of questions to new applicants, and even current employees (every 3 year or so). Except these are on the polygraph. They are called "life-style" screening test questions.
If you're applying for certain immigration benefits, I personally believe they should have the right to ask you any type of question - be it personal or not. After all, it is up to them to decide if you qualify for the applied benefit according to the type of answers and evidence you have provided them with.
It's all about that bona fide relationship, and an authentic and honest future marriage.
If you're not willing to answer any questions Immigration Officials ask of you because you think they are invading your privacy, don't expose yourself and save the paperwork. Same as in the airport, don't want to risk getting frisked by CBP out of your concern for your privacy? Don't travel.
And btw, is not like those officials at the embassy are going to care in the long run about your sexual behaviour. I am pretty sure you won't be the only person that has been asked these controversial questions, nor the last.
Yau & Yadi got a reaction from yachachiq12 in Inappropriate Interview