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She was the only one of the three who understood that in order to defeat Serena you'd have to play the same game, unlike some knuckle head that tried to fist fight her, ending unconscious.
She is usually very shy when it comes to nudity and privacy, even when it's her own boyfriend. There was some slut in volume 7 that tried to lose her virginity with a plebeian after being sold in marriage in exchange for money, while Megumin goes for like a dozen volumes and could only offer a kiss. Darkness goes and steals a kiss from the man of another woman which goes more around the definition of what a slut is. I doubt there is a lot of purity in a person that sexualizes herself half of the time she opens her mouth.