Fellow lucid dreamer here. I've tried some explorations of the interface between sleep and waking from within dreams. In my experience/opinion, sex dreams might tend to break up because they use the tactile sense a lot and vision not so much. That can lead to inadvertently paying attention/letting-in one's real-body proprioceptive sense channel or attempting to give motor commands out to one's real muscles (rather than sticking with the dream-sense channels and the more expectation-based moment to moment control of one's dream).