If you play a succubus, you're indulging in childish sex fantasies and oversexualized women. If you play an incubus, you're being an escapist and inserting the perfect-looking hyper-seductive incubus as a surrogate for yourself to overcome your deep-seated sexual insecurities.
You really can't win. If you're part of a group that can deal with sex without turning into a bunch of frat boys or turning the whole game into "/d/: the RPG," then it could be possible to make a complex, well-developed sex demon as a character (of either gender). While you're out there, though, pick me up some panacea and free tee shirts.