On the face of it I suppose it seems a little strange, but only because the term brother is in there.
In fact, as others have said, theyre not doing anything wrong and people will just have to get used to it. Of course it brings with it all kinds of other issues, like what happens if they split up/fall out; they still have to be around each other and can never really make a complete break, but thats not an issue at the moment.
I actually know a couple who are step brother/sister and are in a relationship - works well for them and their family are supportive.
Maybe if you explained exactly what youre appalled about we could comment further.