Yeah, lol that got me, too. I was all WTF? Can't say I grasp all the meaning from that, but at least part of it was a goad against Saubon. Kellhus confers with both Exalt Generals, keeps them both in his confidence, spends time alone with them in his tent. If it got out that he did that to Proyas, it would be assumed at large he'd also done it to Saubon. And buggery is taboo to the Galeoth. Maybe to keep control of their forces in the dire straits they were about to go through. If anyone thought Saubon was going 'soft' there'd be mutiny. Saubon would probably exercise more authority over his troops, exact greater control over them, just to assert more dominance in case anyone thought Kellhus had had his way with him, too. Maybe.
Or maybe Aspect-Emperors have needs, too.