Why did that guy have sex with the robot at the end?

I'll admit, it looks a lot like that's what happened, but according to other people I've talked with about the movie, and in my own opinion too, they were fused together into some sort of (no pun intended) hellish combination, and as a result for both of their crimes, were left to stand as the gatekeeper to hell.
Maybe we're reading too much into it, but there's no sex. :/

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Max was a top.

Well, the movie is called the black hole.

Don't spread my wealth, spread my work ethic

I thought Max took him into his shell to protect him.

He merged with the robot. There was no sex involved. The black hole is where conventional physics break down and one aspect of that is the ability to merge humans with robots.