No wonder.
"W-w-what is that!!?" Three squealed all of a sudden.
Taken by surprize, Sam froze for a moment as he climbed onto the bed.
"Hm? You mean…" looking dumbfounded, Sam's eyes slowly went down to his fully erect penis. "Right… this your first time seeing one, huh?"
Valkyries knew nothing about basic biology. They didn't need to, at least not until it was time for them to serve their purpose as artificial wombs. It's only natural for her to be surprised by the sight of something like that.
"This is the male mating organ." Sam said, leaning over the young Valkyrie so their faces would be closer. "Three, do you know where human babies come from?"
"Human… babies?" Three muttered, looking rather confused.
"When a man and a woman who really like each other decide to spend the night alone, they sometimes do something that might result in a child being born."