It's wrong. Leo knows it's wrong, he's not stupid, he knows all about the taboo of the human world, the world their father came from. It's so wrong for him to do things with his brother; he hates thinking about what Sensei would say if he knew. 
And it's wrong to not just break the rules, but to get off on the sense of breaking them. It's wrong to be turned on when Raph calls him "big brother" in that tone of voice; it's wrong to tease Raph and call him "little brother," knowing full well it'll bring Raph charging to prove that he isn't "little" in the slightest. 
It's wrong in so many ways, and sometimes it's hard for Leo to not be overwhelmed by guilt. He worries that he's poison in the family tree, that he's leading Raph to a bad place, that he's wrong, somewhere deep at the core, to want something like this. 
The thing is that Raph makes it so damn easy to forget that this is supposed to be wrong, to forget everything except the press of hands against his scales and the eager roll of a cock inside him. After a lifetime of meditating, fighting, training to exhaustion, he's discovered that the best way to really clear his mind of worries is a good hard plowing. 
And Raph can give him that, because Raph knows him, because Raph loves him in all the ways that matter, because they grew up together and Raph has seen all the parts Leo's managed to hide from everyone else. He knows when Leo needs to be taken out of his own head, the same way Leo knows when Raph needs to be distracted from the rage bubbling endlessly, relentlessly under his skin. 
It's been good for the clan, Leo knows. Raph doesn't lash out as much, rewarding Mikey's teasing with an eye roll instead of a smack. Leo is learning how to be less uptight, to account for the wishes of his family when he makes his plans. They fight less, although "less" doesn't mean a whole lot considering how much they fought before, but still. 
It's been good for the clan, but that's not why they do it. In the end. Leo fucks his brother, Leo loves his brother, because he wants to, because Raph makes him feel selfish like he's never been before, shameless like he's never been before. Sometimes, he thinks that's the most taboo part of the whole thing. 
That's the part that makes him want to end it, sometimes. If he wasn't so weak, Leo would sit Raph down and explain to his brother that he doesn't deserve to feel so good, especially not in a way that is so objectively, sickeningly wrong. 
But then Raph says "C'mere, big bro," want curling like perfume on his breath, and kisses Leo so hard the bad thoughts just melt away. Maybe it's a cliche, but if loving his brother is wrong, Leo doesn't want to--he doesn't think he can--be right.