In order to achive Heaven DIO had to keep himself from doing some things , one of which being sex. We know that DIO started his heaven plan after he discovered stands , before this he was bussy making kids and getting his muscles up . By the time he met Pucci he already had The World , meaning he was doing his Heaven plan thus concluding that he didn't have a sexual relationship with Pucci , more likely DIO considered Pucci a children , a son , so their relationship could have been a more Father-Son one . If DIO would have banged Pucci's ass his heaven plan would have failed .

In conclusion......DIO'S NOT GAY , WHAT'S WRONG WITH YOU PEOPLE ?!