There is an exposition description of them sharing post-coital confidences, but we didn't get to see it. I wanted to see it, to hear their words and see their expressions and reactions, to feel how hard or easy it was for them to share those things.

Because I didn't see those things, I wasn't entirely sure why John would choose Rodney over the woman he had moved in with.

Hmmm. This describes very well the reason I had some trouble understanding why Sheppard wanted to be with McKay -- you articulated this much better than I did. I wasn't able to quite put my finger on it, but this is it -- I just was never able to get the full picture of why Sheppard felt anything for McKay. The expositional aspect may be a part of why I felt there was a missed connection, somewhere.