did the leads actually have sex or not?

The actors simulated it. The porn doubles acted it. The effects team seamlessly blended them together.

Probably not. Even in Europe it's hard to get good actors if they actually have to perform sex on screen. Jean Marc-Barr (actor and Von Triers' acolyte) tried to make a "serious" movie with hardcore sex and he got some of his regulars like Pierre Perrier, but he couldn't get Lizzie Brochere, who is fluent in English and has a shot at a real international/Hollywood career. He sure as hell couldn't have gotten any Hollywood actor or actress(look at what happened with Chloe Sevigny a few years ago).

And once you do start filming actual penetration, then you have to make the sex scenes really long to justify the actor's "sacrifice" and pretty soon you have just another boring-ass porno movie.

"Let be be finale of seem/ The only emperor is the Emperor of Ice Cream"

It's hard to believe it was all faked, right? I would like to see a making-of video, or something. I mean, strictly to see how they did it and for no other reason.

I was thinking it was acting with prosthetics. All the genital scenes kind of looked fake. So that's what I was thinking. Of course just nude scenes were real, but when they showed the penetrations and oral I was under the impression of prosthetics.