Is anything that is sugar-coated negative?
That said, there are many forms of “negative”. But the end of the day, if something does not have a negative connotation for the speaker or author, there is no reason to sugar-coat it.
Your example about the boy's introduction to sex is an interesting one. Admittedly, I do not believe that an introduction to sex is or should be anything negative. However, reality is that it can actually be a difficult or even traumatizing experience. The fact that it is called sugar-coated is a clear indication that the story portrays the said introduction in a way that makes it look all positive, or at least mellowed down to soften the negative parts, while there certainly where negative aspects to it.
Depending on cultural settings, sugar-coating that story might have a slightly different meaning: it may circumvent the sometimes touchy subject of sex altogether. In that case the use of the word sugar-coat indicates that the author considered it necessary to hide sex itself from the story, as they, or their intended audience may see sex as inappropriate to talk about (and thus, again, the subject is seen as negative).
Now, how should you take sugar-coated information?
That all depends on the situation. Although sugar-coating is certainly not always a lie, it can certainly be used to lie — or rather to twist the truth. The prime example of this kind of sugar-coating may be advertisement!
A very common reason to sugar-coat things, however, is simply to spare someone's feelings. In this case, when you are confronted with a sugar-coated message, instead of feeling that you are being lied to, it is probably more constructive to realize that the speaker is trying to spare your feelings.
Even though the intention of sugar-coating is often to spare someone's feelings, it is not always appreciated. Sure, as others have remarked, you probably want to sugar-coat your reply when your significant other asks how they look when they seem to have had their eyes closed while choosing their dress.
However, in many situations, one may be looking for an honest, straight answer. If I were a CEO wanting to know how the company is doing financially, I probably do not appreciate sugar-coated numbers that paint an altogether too rosy situation.