It's unclear even to some (probably a lot of) Americans. I've known Americans who set it to "men and women" despite being straight. They changed it when it was pointed out what it meant. It's a really poorly-worded option.
I don't think it's that awkward with a north american mindset. It's in the Basic Information category, next to Relationship Status. Furthermore, I think some basic questions are reasonable:
1. How many people are so harshly prejudice, that they're not even interested in one gender?
I just logged into Facebook to check. It's not next to "Relationship Status" any more, at least not in the "Edit Profile" area where you'd actually set it. This doesn't really matter anyway.
The fact that someone can deduce what it means doesn't mean it's not an extremely poor wording. A user shouldn't have to go through your 4 questions to figure it out. There shouldn't be any confused-user results when searching for "facebook 'interested in'" online (and there are).
1. How many people are so harshly prejudice, that they're not even interested in one gender?
2. How many of these people would admit it?
3. Why would Facebook want to know?
4. What does it probably mean?