Yup, I think he wasn't Bi, just confused. He was a bit spoiled and Since his Sister was all bossy he felt Lucciola more close. For him the female person was a symbol of tyranny in a way so maybe he was scared.
He was also very childish so though his body was of a young man his mind didn't think the same.
For goodness sake! It is an anime. I'm sure the creators would have said he was if he was meant to be bi.. Dio's function was to be the future leader of his people & the world. He was just very spoilt and immature and thought that everything was just a joke.
Dio was obviously a hedonist. It was a part of the Guild's culture and he was a prince among princes. I think given the character and background being bi was a given
I don't think dio was bi, i doubt he was even intrested in things sexual. He had fun, the way i think things should be where touching, is not forbidden and there are no hidden meanings in gestures and stuff.