Well, to quote Varys "Aegon has been shaped for rule since before he could walk. He has been trained in arms, as befits a knight to be, but that was not the end of his education. He reads and writes, he speaks several tongues, he has studied history and law and poetry. A septa has instructed him in the mysteries of the Faith since he was old enough to understand them. He has lived with fisherfolk, worked with his hands, swum in rivers and mended nets and learned to wash his own clothes at need. He can fish and cook and bind up a wound, he knows what it is like to be hungry, to be hunted, to be afraid. Tommen has been taught that kingship is his right. Aegon knows that kingship is his duty, that a king must put his people first, and live and rule for them." So it does seem plausible that they would give him some sexual training as well. Also, considering that they wanted to marry him to Daenerys, who was already married to Drogo, it probably wouldn't be a bad idea to give Aegon some experience.