Extra Terrestrian: Die Ausserirdische (1996)

A female "E.T." is sent to Earth (in the Victorian era) to learn about our customs, and finds some aristocratic humans who help the E.T. learn our customs, mostly our sexual customs. Then after watching people have sex and having sex the E.T. returns to her home planet to teach them what she's learned. Ending with a tear filled goodbye while the people wave goodbye to the E.T. as she leaves.