I have been engaged in researching what it takes to get non-physical entities and objects to manifest as though they are physical. Strangely, as I engage in this work, the question I get from other people is less, “Why do you think this is possible?” and far more “Why would this be in any way desirable?”
Sensuality is intimate. Going beyond just sexuality, consider the difference between seeing an old friend over Skype versus in person. Skype limits you to sight and sound. Being able to touch a friend, or smelling their particular perfume feels more like a real interaction, and in some ways, it is. Intimacy with deities is the point of mysticism. Privacy, for most people, is also intimate. Dealing with a deity sensually and privately, rather than intellectually or through a medium, would be awesome.
Is this necessary? No. Niether is mysticism. Religion isn’t even really necessary. Having deities in your life at all isn’t necessary. But we get something out of it, so we seek it out.