Bestiality is icky to me for a lot of reasons, but in my mind the main reason bestiality is immoral is because animals don’t have the standing to consent to a sexual relationship with a human being. I believe there’s something morally wrong with humans having sex with creatures of lesser intelligence or sentience. If this alien species is at least of comparable intelligence to humans, and we’re talking about consensual relations between two adult members of the species (or whatever the aliens’ equivalent to “adulthood” is, in the sense of fully developed mental faculties), then I don’t have any moral objection.
If they look like sheep or dogs or whatever, then there’s certainly an “ick factor” for me, but that’s not the same as a moral objection. In fact I feel strongly that people have a right to engage in sexual relationships that I may personally find icky.