How do people with service dogs (specifically those for anxiety disorders) have sex with their partner?

Okay context: I'm writing a story where one of the characters has a service dog to help with his PTSD episodes and anxiety attacks. He is also married. While I don't plan on writing any actual NSFW into the story, the question came up and now I cannot get it out of my head.

What do people with service dogs like these do when they have sex?? I assume that most sane people would put the dog outside of the room, and I know that service dogs have some sense of when it's service dog time vs. regular dog time. However, I can't help but wonder if a service dog could misinterpret the whole ordeal as something negative.

I mean, things like heavy breathing, raised temperature and heart rate, and noises that could sound like someone's in pain or being attacked...Aren't those the things PTSD service dogs specifically watch out for? Would the dog start freaking out if it heard those sounds from the other side of the door? I can't bear thinking that the dog starts stressing out because their owner wanted some alone time, and now they think their owner is having an episode in place they can't get to.

Is there a specific thing you have to train to them, or is it just something service dog owners have to deal with? I know this is an odd question, but it's going to keep me up at night if I don't find out!