I don't it will be gratifying
No atmosphere at all...
Only if you like Russian or China spacemen lol.
So moon dust is incredibly sharp; fine like flour but as abrasive as sandpaper or fiberglass.
Sexual intercourse on the moon would be very hazardous.
If you're talking about having sex in a space station on the moon then you have the complications of zero gravity, which would be difficult and probably not very romantic.
Lastly, since the moon has no atmosphere, it wouldn't be strange... it just wouldn't be.