I always interpreted that remark in a context of sexual activity only - since it immediately follows Dr. Jules' mention of fellatio - with no implication of any other aspects of a real relationship other than sex.

Wasn't there a passage in the book where Puzo describes how Sonny would go over to Lucy's for a couple of days at a time, and she would cook for him while they both walked around naked or something?

I'm not sure, TB, what you mean by a "real" relationship. I don't think that they did anything much more than have sex, although I would certainly agree that there were more than the two occasions depicted in the film, and that there was probably at least some emotional attachment between the two.

If you're saying there was love between them, well, I'd guess that there was on her part, but I'm not sure about his.

As for Michael, I think when it came to women in general and sex in particular, he inherited his father's "straitlaced" views.

As he said to Fredo about the girls in his Las Vegas hotel suite:

"Get rid of them."

Fredo, I think, sought to cover up the inadequacies in other areas of his life through his sexual conquests - for example, cocktail waitresses two at a time, and marrying a movie star.