Not sure why this is under Bizarre Sex...
i had the same reaction :-).
For me, sex is about connection at as deep or intimate level as me and my partner can achieve. The physical is often 'just' a part of that connect. Gay bottom here, so i consider this from the opposite side of the original post, i.e., waking up with my lover inside of me... which i love.
When i first read the subject line, my first thought was of being penetrated while asleep, which for me is a hugely intimate act. Having a relationship where there is that kind of trust and connection where the connection can be made even in sleep is a big turn on for me because there is an extra level of vulnerability to be taken in such a way.
On a practical side, the falling asleep and waking connected is more of a romantic notion. i've had a guy fall asleep on and in me after cuming, and there it can be wonderful feeling, but at the same time sort of uncomfortable... i.e., He was asleep, i wasn't, and He was kinda crushing me. i was conflicted, because i loved feeling Him inside of me in that state, hearing Him breath and knowing His deep rest and satisfaction. On the other hand, it was not a way i could stay all night, had to breath sooner or later.