Are the girls ever pregnant in the scenes? or is pregnancy only part of the rpg stats systems and not part of the sex scene art?
If you manage to get one of your companions (or female MC) pregnant, there is a unique scene for each. Keep in mind that impregnation can happen only during specific scenes, but the game wont tell you which ones those are, so if you choose the wrong "option" in them you wont get pregnancy scene later.
Also, pregnancy for the companions and MC only happens after unlocking the Summerheat club in Summeredge. So the pregnancy system isn't available at the start of the game. There are other npc characters besides the companions that can get pregnant or are pregnant that the MC can have sex with. Also the female MC pregnancy system is a little complex, and has certain percentages tied to pregnancy chances. The male mc doesn't have to worry about that though. I posted a while back outlining the female pregnancy system in more detail in this thread.
If you want to browse a list of sex scenes, with associated characters & fetishes, check out the walkthrough by Redknight. I posted it in this thread; you would just have to search for it. Similarly, if you just wanted to see the sex scenes without playing the game you can always try out Redknight's gallery mod for Roundscape. (It's on this site).
I've been running around for hours, how do I leave Valorn to go back to my castle?
In the map zone below where the great hall and inn are located in Valorn. There is a red roofed keep, docks, a notice board and a teleport crystal. You'll have to activate the teleport crystal.