He's not being dense, he just doesn't WANT a harem and none of them care.
To be honest though, it doesn't really make much sense. This is a clear case of the author just using this trope to prolong the story
I can understand him not wanting a harem, but he doesn't seems to be asexual (as he's flustered by women, and when they're in a tiny bit of compromising position he blushes etc. He's not indifferent)
But he does not try in the least to know any of them better. You don't want a harem, fine. You don't want to choose quickly, nor to get quick sex, fine. But he is shown to be not indifferent to the female body and when showered by this affection he doesn't even try to get closer to them and see if it would be a good match.
That's... kind of illogical. You like girls, you have girls pining after you, at least try to know them better and then see what happens...
But as said, at the end of the day this is just the "dumb and oblivious and REALLY dumb MC" cliche, used as a plot point to keep the story going. And I don't like that...