Why doesn't he just bang em...
It was never explained, but overall, it seems that Axel is just asexual.
That, and the two's harem antics during their past adventures seem to have desensitized him. Like he finds two naked girls wresting on his bed, asks them what happened, and just concludes "so, same as usual".
Alternatively, Berseria has been described as a child many times, and Saki is friends with loli-baba. So maybe the two epic heroines are actually just loli, and Axel is not a lolicon.