You got almost everything right! To me, Haytham is the type who doesn't care much for relationships and sex and suchlike. I think Ziio was an exception to that. He is willing to use his body to manipulate Connor (and maybe Connor will become an exception, too). In other words, both of them are more or less asexual to me. Sex is a means to an ends for Haytham, and something Connor neither craves or has much interest in, outside of making his partner/spouse happy.

Lee is totally gay for Haytham IMO. I don't tend to ship, or if I do just vaguely ship everything in a 'oh well they seem good together even if it's non canon' kind of way, but hell's bells. The funeral scene especially. But for the purposes of this story, I've left things like that slightly vague so I don't drown you all in my headcanons and ships, and stories are way more fun when the reader can come to their own conclusions on things.