Um... it exists? Well, I assume so... personally, I thought I was asexual during a time when I was just suppressing my homosexuality, but I certainly don't think that's true of most people who identify as such.
I think there's a certain natural tendency to pity, towards someone who's going to miss out on things most people think are important. But I'm not sure that's valid. There's a lot of worry and heartache associated with sexuality and romance, too. Is it worth it? I'd say, yes... but I'm hardly in a position to be objective. An asexual person literally doesn't know what they're missing... and, by definition, it isn't anything they want. So if they're happy, if it works for them, then I think pity is entirely the wrong reaction.