My understanding is, unlike many other jurisdictions, there is no law against being a customer. I'm not a lawyer so if you want to be 100% sure stop reading here, phone a real lawyer and pay his fee to tell you. Or read the laws yourself ...
I believe what happens if there is a raid is they cart off the girls. Of course, if you were there at the time your details are very probably going to be recorded as a witness and you may be called to court for evidence ... or you may get off with just being held up for a while and having a statement recorded ... better hope TVB doesn't show up while you're waiting
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Not been there, so can't elaborate, and I have no intention to experience that particular adventure myself!!!