Actresses were still not quite respectable, (and only middle class at best), the play they chose was a bit risque' - and they knew it - all that holding hands and declaring love! They were being thrilled by their own daring and sophistication.
But it needn't have been a play I suppose. The play is a device to illustrate the corruption being brought upon the family home by the Crawfords. Even Fanny and Edmund are incrementally persuaded to join in by peer pressure from their glamorous friends. Also the whole project was on the edge of chaos, a kind of anarchy preveiled because rules and conventions were being broken.
They all knew they were being "naughty" while Sir Thomas was away - as we can see by the guilty scurrying about that went on when he returned.