This might just be my own insanity speaking, but... would it be cool for the mortal to get some kind of benefit out of having sex with a monster? Maybe getting to mark experience?
I think that they do get a benefit. It's just a totally fucked up and creepy one. Let's walk through it, and you can tell me whether this works for you or not:
Lilly is a Mortal. She's terrified of the hypnotic world she's been exploring, but she also has an agenda going in the back of her mind. She sleeps with Tobias, a Ghost. They drift off, and when she wakes back up, Tobias is gone. Cue emo mope scene.
Except, Tobias isn't gone. His player is like, "Tobias is in the room, wanting desperately to communicate with you. But he can't - he's his Darkest Self. He lifts the love letter he wrote you, off the desk, and sends it falling through the air, towards you."
And now Lilly's player has something awesome in her hands. A victim that needs her help. And sure, she could acknowledge Tobias, and console him, and talk him back into existence (which I think is the new way you resolve a ghost's DS).
But... what is the Mortal good at? What are they poised to take advantage of? Being a victim. Lilly's lover just became the most terrible version of himself possible.
Lilly's just escalated their relationship, went deeper into her victimhood, and gave Tobias a strong motivation to stick around - that only she will understand why he became this way.
All Lilly has to do is balance that line between feeling hurt and being helpful, and she can milk this situation with Tobias for all it's worth.