I wonder why they decided to show the sex between Carrie and Dante that way, with a total nude of both (first time in HL that I recall). Was it explicit and somewhat stark so that Carrie’s humiliation to Saul was greater?

I wondered the same thing. I definitely think the choice to show them totally nude made the humiliation in front of Saul more acute.  I also think the decision illustrates her current state of mind and how manic she currently is. Of course this is all based on what I could see through my fingers since I was covering my eyes at that point.