why wouldn’t he just come out?

Sexuality is a complicated thing where we still have people who are afraid to come out even though it probably wouldn't hurt them. And a lot of people are just in denial, and it's difficult to overcome early life conditioning. When he was growing up, the anti-gay sentiment was still really strong.

Also, things like the bro code and the game were things, and sentiments about women above 25 or especially nearer to 30 are just unfuckable old maids that aren't fun or easy to control for continuing the fun. Older women assert themselves in ways that early 20's trying to navigate the entertainment industry don't. If you're Leo, why would you change any of these habits when there are no consequences, and it's fun for you?