Rumlow was taken by his coworkers and made into their personal sextoy. Thanks to them he's got piercings all over, no gag reflex, swollen tits, and a gaping asshole. He's a favorite because of the way he whines and complains until someone shoves a cock down his throat.
(Also because they hated him and think he deserves what he got)
Of course it's only good hospitality to let the captive Captain America take a turn with him, right? Not that they give him a choice.