Is there any difference in later dialogue options when selecting how you feel about a character? (Specifically the romantic and physically attracted options?)
There is. That choice dictates a lot of the interactions with the ROs (and sometimes how other ROs respond to each other). Zahn for example will only engage physically if the MC is a friend, romantic, or physically attracted to them. The RO actions and dialogue with MC will take on different tones if MC feels romantic towards them.