Well, I´d say it depends...
For example, I rp Mad (Forsaken as in "dead human" undead..) in the way as mentioned above, basicaly that it´s not realy physically possible.
On the other hand, as for Daid, who was blood elf before but became Forsaken via the House, I like to think she can still feel physical pleasure (even though she´s dead), but not to the same... erm... level (lack of a better word) as she did while alive. But I realy do like to think it´s possible for her. Maybe it will fade in time, when she´s dead for a longer time... but as for now, she can still get the ol´ blood flowing in the right places xD