I don't get this particular line?

Well, a little naïve, perhaps - unless you're kidding me? He doesn't fancy the girls, he has other inclinations, yes? He's gay, he fancies men. He's as camp as a row of little pink tents, bless him, so it doesn't come as any surprise, except to Mrs Henderson. Perhaps she has led a very sheltered life.

Bertie is pretty obviously homosexual. Singer Will Young basically plays this character as a 1940s version of himself. Later in the movie Mr. Van Damm says "how fortunate" it is that Bertie is unfit for military service because of a heart murmur, and Bertie and the ladies all giggle cynically at this. This is because gays in both Britain and America were being barred from the military, but the stated reason was not because they were gay. The army wanted to have it both ways by barring gays while not having to acknowledge gays exist. It was easy to pay a doctor to make up a "heart murmur" or some similar cover story for not allowing a perfectly healthy homosexual volunteer to join the service.