Note by @cookingsteak

Thinking about the difference in awareness of incest taboo between Ephraim/Eirika and Julius/Julia:

The former are unaware there is even an issue for quite some time, and would be confused about what's so wrong being that kind of close to your sibling. Eventually they accept that they're not meant to be "out", but it's a little tricky when both prince and princess are courted by others...

The latter learn of this taboo sooner, but find it doesn't bother them. If anything the fact they need to hide makes it more exciting. They like having this sort of thing just for themselves. Also, would it be so bad if, maybe, their other siblings could join them? Well, not right away, it's risky...