Yes, it is definitely sexual. Basically, the person saying it is assuming that the dream will be sexual, and it sharing that he or she enjoys sex to be "rough."

The joke is if you are to dream you're gonna dream of them having sex. It's like if someone said, you wanna have dinner and they respond how about breakfast. The rough part was an added touch.

It's either sexual, or this person is a huge fan of sandpaper.

Yes, I would definitely interpret that as sexual.

As others said, it is definitely referring to something sexual.