Sure, different countries/religions handle (non-sexual) nudity very different, ask the acient Romans or Greeks. I am German, and I know work colleagues (males & females) who would jointly go to the (all nude, mixed) sauna after work, even meet their boss on occasion, and nobody would ever feel awkward about this.
As for the story, feel free to believe that Max's family works that way if you want. But the girls do react to Max's peeking & entering as it being not normal, but rather perverted/sexual. It is a corruption game, Max tries to get them to be more open towards nudity / slutty over time.