I want to break this question into a few parts:
- Is it wrong for people to have sex so loud that their neighbors/roommates can hear?
- Is it especially harmful for children to hear their parents having sex?
- Are some types of sex sounds more harmful for children to hear than others?
For 1, I'd say it's polite to keep it down a bit for other people's sake. Especially because sex can be a bit... repetitive, it gets annoying fast. Don't bonk the walls. Fix your creaky bed. Muffle your screams.
I don't think it's harmful for children to hear sex, if you've explained to them that it's nothing to worry about. Don't try to hide it or look guilty or ashamed either, let the kids know it's good and healthy. Apologize for the noise though, see point 1.
If you sound like you're being murdered and the door is locked, that could freak out a kid. Make sure the house is empty before you do loud CNC play or whatever you're into.