They are still together, but you're certainly right about it being complicated relationship. Rollo seemed to really mature however, after the fall-out from his near-execution for his epic betrayal. He did tell Siggy that the "new" Rollo had no more feelings or desires for Lagertha. It will be interesting to see if Rollo reverts back to his old "sleep with whoever I want" self, especially after confronting Siggy about her sleeping with the (former) King Horic.