Is Fate/Grand Order: Moonlight/Lostroom hentai?
No
Rated PG-13 (Teens 13 or older) on MyAnimeList and not tagged as Hentai.

TV Special · 2017 · 1 episodes · PG-13 - Teens 13 or older
Action, Fantasy
Short centering on a "Lost Room" where you can find what was lost—or those who lost. This room, which belongs to no one, lies forgotten in a corner of Chaldea. (Source: ANN)
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