No, Winnie wouldn't be shocked. If anything, Winnie was more obsessed with sex than Dory even. He could think of few people who would be as accepting of the odd behavior than her, but that was just it. Using Winnie as a gauge for what was acceptable was similar to asking a prostitute if paying for their services was an acceptable decision.

He inched away from her on the bed, sitting up on his own elbow so it wouldn't feel as though she was looking down at him. "I met someone." Dory offered uncomfortably. "And they're entirely off limits."