Hard to say. If there was evidence of something illegal going on in there, say human trafficking, then police would be paying attention to the place and may even carry out a raid at some point. On the other hand, if it's just a massage salon and the women are discretely offering a few extras, then the chances are that no one knows and no one cares.

As you said, the problem would be being busted in the act... but even then, what evidence is there that something illegal was happening? The police would find a room with a massage therapist and you naked on the bed. People are normally naked during a massage, so that's hardly something unusual.