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Theory: Contrary to a literal reading, the harem fantasy is not about sex, but is instead a male fantasy of having more than one person you're allowed to be emotionally intimate with without having to give up a performance of masculinity that denies the need for that.
Addendum: The ones which are a personal sexual fantasy or part of a work of erotica are obviously in large part about the sex, yes. 
I think a surprisingly large number of instances of the harem trope in fiction have little explicit content though.
Apparently not everyone is familiar with the term "harem fantasy" and are assuming I'm talking about something closer to a historical harem (which were Bad). "harem fantasy" is a trope name and generally refers to lots of women voluntarily interested in the protagonist.
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