Yeah you are supposed to sympathize with them and I personally think it works pretty well.
Once you get over your initial "Ew Incest, icky." reaction, you see that Lene and Lambert are two adults (Lene is 18 iirc, and Lambert is her older brother, correct me if i'm wrong) who are in a mutually loving relationship that they'd be at best shunned and at worst prosecuted for.
And then once they grasp at a straw of hope they're shown, desperate as they are, they're not only forced into a serious crime, they're blackmailed with each other's lives for it.
Regardless of whether one thinks that incest as a concept is wrong, the circumstances of the characters in this specific instance are quite tragic and deserving/evocative of sympathy, imo.