How spinal cord play its roles in human beings sex?
One of the major functions of the spinal cord is to serve as a "highway" for signals to travel between the brain and the sensory (and motor) organs. Thus, sensory the signals that are generated on the body during sex must travel up through the spinal cord in order to get to the brain, where it will be processed into a pleasurable sensation. If the spinal cord is damaged, the signals will not be able to reach the brain and thus there will be no generation of pleasurable sensations.

Here's an image that shows the general sensory pathways. You can see they travel from the sensory organ to the spinal cord, and up it to the brain.