I'll try to make up for the joke posts about watching hentai.

{Cross Ange}

{Domestic Girlfriend}

{Sword Art Online} (although they don't show it)

{B-gata H-kei}

{Darling in the FranXX} - Nothing shown, but characters having sex plays a major role in the story

{Record of Grancrest War} - Although it's not really romantic

{Highschool DxD} - No actual sex, but enough close calls that it's worth mentioning

{Testament of New Sister Devil} - Basically a softcore hentai, no penetration but lots of groping boobs and butts

{Interspecies Interviewers}

{How Not to Summon a Demon Lord} - Again, little romance, but if fingering a demon out of a cat girl loli doesn't count then you're being too picky

{Peter Grill and the Philosopher's Time} - Funny show, lots of sexy times

{Valkyrie Drive: Mermaid} - They power up through groping

If you want to see penetration, then look at Hentai, but the above shows are highly sexual, all of them are dubbed too if that matters to you.