I always welcome the illusion of choice. Its hugely important to my enjoyment in any game, but even more so in a sex game.
Lets say that there are five chapters to an act within the game. If the game is a pure, narrative VN, then they just go 1-2-3-4-5, with no control from the player. For me, even if they're really well done, it gets tedious. But if you let me pick the order than I do the events, then it becomes FAR more engaging for me, and I enjoy it a whole lot. That, more than anything, is why I strongly prefer a sandbox or semi-sandbox setup for games.