This issue needs to be observed both from a moral and legal perspective:
From a moral point of view, Islam gives great significance to modesty and chastity, especially in family and conjugal life, hence the very strict and precise rules and guidelines in this regard, most notably, having sexual relations in private and far from the presence of any third person, even if it is someone’s other legitimate wife (a man who has two wives), the reason being that such a thing can entail negative emotional and moral effects and cause moral inappropriateness. In some hadiths, having intercourse in the presence of a suckling infant that is awake has been advised against and the imams have said that such an action will end in the child’s moral corruption later.
It should also be noted that in hadiths, having intercourse in the presence of one’s other wife has also been ordered against.
The prophet (SAW) ordered against having intercourse with two wives in one room.
Imam Baqir (AS) said: “A man who has two wives should not have intercourse with both of them at one time and in one room.”
But, of course, one must remember that from a legal perspective, considering the whole of legal evidence in this regard and their contexts, this prohibition in the hadiths is an advisory one and not binding, meaning that they are saying that it is makruh to have intercourse in the same room and at the same time and not haram.
 Wasa’il al-Shiah, vol. 20, pg. 133, hadith 25223 “عَنْ أَبِی عَبْدِ اللَّهِ ع قَالَ قَالَ رَسُولُ اللَّهِ ص وَ الَّذِی نَفْسِی بِیَدِهِ لَوْ أَنَّ رَجُلًا غَشِیَ امْرَأَتَهُ وَ فِی الْبَیْتِ صَبِیٌّ مُسْتَیْقِظٌ یَرَاهُمَا وَ یَسْمَعُ کَلَامَهُمَا وَ نَفَسَهُمَا مَا أَفْلَحَ أَبَداً إِنْ کَانَ غُلَاماً کَانَ زَانِیاً أَوْ جَارِیَةً کَانَتْ زَانِیَة”. See: Jami’ al-Ahadith software by Noor.
 Noori Tabarsi, Mirza Husein, Mustadrak al-Wasa’il, vol. 14, the chapters on the preliminary steps to marriage, chapter 50, hadith 2,… “رسول الله (ص) انه نهی ان توطأ الحرة و فی البیت اخری”: Jami’ al-Ahadith software by Noor.
 Majlisi, Bihar al-Anwar, Beirut print, 1403 AH, vol. 100, chapters on Marriage, the chapter on the etiquette of intercourse and its virtue, pg. 293, hadith 42: “لاتجامع الحرة بین یدی الحرة فاما الاماء بین یدی الاماء فلابأس”; see: Jami’ al-Ahadith software by Noor.
 Ali Panah Eshtehardi, Madarik al-Urwah, vol. 29, pg. 71: “و یکره أن یجامع و عنده من ینظر الیه (1) و لو الصبیّ الغیر الممیّز”, see: the Jami’ Fiqh Ahl al-Bayt software by Noor.