You forget. Utena isn't gay. She's Anthysexual. That relationship isn't about the bodies, although I suspect Utenas come to appreciate it :P

Secondly, their love for each other revolutionized an entire reality. They don't need to be capital-H Happy, they have the universe proving they're hopelessly in love. They're allowed to be content.

Besides, you want proof of love and devotion? Go reread any scene that involves them in combat, especially Valiant Rose and the Revolution will be televised.

Matrix Dragon, J. Random Nutter