"What do you mean with that? First kiss? First sexual experience?" It's free for interpretation :)
Well, Harmony has his reasons to worry about. Their parents would NEVER agree with an incest relationship, and it's sad somehow because these two really love each other.
For the first time they [...], Harmony felt himself like the worst creature in the world taking advantage of his little sister, thinking she didn't know what she was doing or having no knowledge about the true feelings he felt for her. He couldn't sleep well for a few nights :/ Melody, on the other hand, was super happy because they finally could get closer than ever without regrets. Besides, she (as needy as she is) could see him day and night and even could sleep with him sometimes without raising suspicion.
Obviously, this image represents something that happened time ago. Now they are inseparable, but just procuring to not be discovered by others (what's still an important obstacle).