Uhh, probably because it's hentai and they're writing about sex lol They want to get their readers horny and if the characters in the story are enjoying the sex, the readers will be more inclined to enjoy it along with them. Obviously this depends on the reader's tastes, but similar to second-hand embarrassment is second-hand enjoyment.
Edit: Though there's also something to be said about stories like
Welcome to Youko's Manor where the girl is just bored lol. It's actually kind of hot sometimes, maybe because they just don't give a fuck about being used like a toy.