It's far more likely that Melisandre's "shadow baby" is taken from stealing a part of Stannis' soul, which could or could not have anything to do with sex.

The guards and knights imply that it might be the case, as she stays in Stannis' tent, but the implication is stronger that he is too honorable and stoic to do such a thing.

I agree that having it be this apparent is very shallowing for both characters, and it's the first time that the TV series has genuinely annoyed me. From this point on I'll have to watch the show with the understanding that it's an alternate timeline, much like Walking Dead.