Mycroft is straight or at least Bi. It's a bit of a sterotype in my neck of the woods that "only gay guys can dance" - yes an offensive assumption but lets go with it for a moment....

... because Mycroft is a wonderful dancer and doesn't grope his dance partners, this is one of the reasons everyone assumes he's gay. But he's not...

... bonus points if someone points out how silly this assumption about dancing is....