In AMC, Finrod is conceived at Feanor's house in Tirion, in the north bedroom, or something like that. I don't recall ever writing them getting freaky in Formenos (I don't even think Earwen would have been to Formenos and likely not Finarfin either), but I write so much, I forget sometimes....

But you might be thinking of the mention of them getting freaky in Feanor's house in AMC, though not Feanor's bed per se. Personally, I think there's something in the water. ;)

(And no, Feans can't keep it in his pants. It seems to be a trait of Finwions. *pointed look at Finrod*)