Dreaming that you have been caught having sex may mean you will literally be caught fornicating or in adultery in real life. It may also represent a circumference that will bring you shame.
When you see yourself caught having sex in a dream, it is a warning especially if you are living in sin or even entertaining evil thoughts. Your sin will be exposed. I know of a person who had a similar dream twice. He used to dream of being caught fornicating with his relatives in different locations. The man never took this dream seriously and hence was somehow presumptuous. At that time, he had become too close to his female relative.
A few weeks later, the man started entertaining sexual thoughts and fantasizing about the lady. As a consequence, they ended up breaking sexual boundaries. They were caught twice caressing. Thank God they never had sex, prayers saved them from their doom. This was a life lesson that one should never ignore warnings through dreams.
Related: Christian meaning of masturbating in a dream.
Secondly, the dream may represent an undesirable circumstance, especially a scandal that will bring you shame, the same way one will feel when caught fornicating. This scandal will bring you shame and guilt.
