Of course this can happen and there is nothing bad about it.There are so many kinds of relationships in this world. And IMO the long term romantic relationships, that also include friendship, are the ones with most importance. There are also romantic relationships out there, in which the partner isn't also a friend.
In the case of Mulder & Scully it's totally understandable why it took so long for them to come together, although they startet having feelings for another some time before.
Look at Mulder: He has a good job, is a very attractive guy, I bet many women turn their heads on the streets when he is walking by. But instead of dating he sits at home and watches porn. Mulder is special and he leads a very special and dangerous life. He knows that very well and he also knows that it will propably be no great luck to be the woman at his side. He knows that if he will get more intimate with Scully, what he wishes, then it would mean a great responsibility for him. And he didn't know for a long time if he can take it. He can't risks things easily anymore, because it's not only about his life, it would be about Scully's life too. He would be much more vulnerable. But he betrayed himself, because his inner feelings reached that point long time before. He already is resonsable for her and he already took this resonsibility since her abduction, her cancer desease etc. That's what he realized after their first sex and after the events in the final of season 7. William made this responsability more hugher, because he is now a father. And this resonsibility is also a part of his depression later on. While being his FBI partner Scully lost her fertility and a part of her health. Wiliam isn't born normal, because of the things happened to him and Scully. He promised Scully to protect both of them but he wasn't able to do so. Scully was forced to give William away and he wasn't there. He let her alone with this. Scully got alien DNA and nobody knows what that means. Mulder blames himself a lot for all that because he had the responsibility for all that and he failed. He also wants to take Scully's responsibility to turn it into his. So that she's "free". You can see that quite often in the series. He feels a lot of guilt on his shoulder and it's not easy for him to forgive himself. Scully can talk about it but he can't. But he has too, but he can't do it with Scully.

Sorry this was long