I would imagine some of it is about Censorship, and having to use a bit of an imagination as to what is being depicted actually looks like.
Wait, stop laughing. I'm serious!
The sexiest images of people generally don't involve lewdness or outright nudity, but the implication of nudity. A woman dressed in a slightly long t-shirt, looking seductively into the camera while pulling the shirt down over her genitals (and stretching it tight over her breasts), not actually showing her breasts or genitals but heavily implying that she's not wearing anything but the shirt. Or a naked man in a pose where one leg is in front of the other, so his penis is not seen (and not much of his rear is seen). These tend to be seen as more erotic and sexy than just naked man with an erection or naked woman pulling her legs apart to show you everything.
Most Hentai is censored for the genitals, and so it could be that this censorship is alluring or erotic or sexy in a way that just seeing the genitals out there on display is not. Also, it could be that finding hentai that is NOT censored is like finding a rare and unique object, something you keep hoping to find but just never can. (like a rare drop in a video game that drops items, maybe)
So looking for it is part of the charm of enjoying Hentai.[footnote]Okay, maybe it's more about how so much Hentai is about situations that just can't ethically be depicted in real porn, like rape, bestiality, underage sex (How many characters in Hentai are supposed to be 14-17? And how many are quite obviously pre-pubescent children? You don't find a lot with prepubescent children just out there for free consumption and generally it's fairly well noted (Loli, Lolita, etc. are used as tags), but... it's out there, and sometimes you won't know you've clicked on it until you're partway through a video. So my advice to anyone looking for hentai online - if the site doesn't have a way to preview the clip, don't click on it if you're unsure.), magical transformations leading to having sex with monsters or being raped by monsters, insane amounts of semen being spewed all over the woman, degradation, torture and murder, and "you're raping me but I love it now!" situations... the kinds of sexual depictions you hear sex-negative extremists on both sides of the spectrum warn about as the bottom of the slippery slope of pornography. People who want to explore that part of the slope are likely going to want to explore it via hentai because it's not easy to find with real women.[/footnote]