I've been called some variation on sexy or hot more times than cute. I think sexy implies…well, no, it outright states that you are appealing as a potential sex partner. Cute, at least how it's commonly used by and toward people over eleven, is a catch-all for physical attractiveness. Hot is both. None are mutually exclusive.
I am fine with either one but I prefer cute because it feels more respectful to me. Not sure why really.
I get called cute sometimes. I've never been called sexy. If somebody called me sexy I'd assume they were making fun of me.