This happens because, earlier, Lucrezia couldn't bring herself to sleep with her new husband - not after the exquisite pleasure she finally had from sleeping with her brother - and the clueless Alfonso babbles out the lack of consummation to Ferdinand. The King of Naples now demands confirmation of the consummation, and Rodrigo is obliged to give the King what he wants, because there is after all a precedent.
And so one of the hot, perverted scenes of the evening features Cesare and Ferdinand watching Lucrezia and Alfonso making passionate love - passionate because Lucrezia has her eyes all the time on Cesare behind the curtain and has him in mind when she achieves "ecstasy," as Ferdinand so artfully puts it. Ferdinand thoroughly enjoys this confirmation process, from the instant Lucrezia disrobes, and he (and the television viewing audience) see her from behind.
Cesare of course does not, and seems to want to put himself and Lucrezia as an erotic couple in their history, as the two move on to live and perhaps enjoy the rest of their lives. Whatever Cesare may want, this is highly unlikely to happen - at least, not in the television series (who knows what happened in real history back then) - given Lucrezia's unabated intense passions from her brother.
Meanwhile, Rodrigo seems thoroughly recovered from his poisoning, to the point of once again sleeping with women - or at least, one woman - other than his wife. And this of course leads to political headaches.
And I haven't touched the chestnut scene, which probably outshines in debauchery anything we've ever seen even in Rome, not least because the players are cardinals.
See also The Borgias Season 3 Premiere: "Blade's Breath" ... The Borgias 3.2: Going Both Ways
And see also The Borgias Season 2 Sneak Preview