While a lot of it, including the very name, revolves around sex, I think it is important to consider the lack of emotional intimacy such relationships provide and if there is any correlation between lack of any romantic partner ships and lack of close friendships. Completely lacking both would indicate a very isolated individual, which isn't good for mental health.
Also, most the data used looked at no sex within the last year which is quite different from never having had sex. At least in the part of society I'm familiar with, there is a massive difference in social status between a guy who just has bad luck dating, and someone with the label of virgin (especially once you leave young adulthood).