Yes a macau sauna could be a great way to gauge a person's acceptance of the scene. All of the big macau saunas do provide veggie massages.
I remember once I only wanted to get a veggie massage in a macau sauna because I was really tired and sore. The manager kept coming over to confirm if I indeed only wanted a veggie massage. Between the 1st and 2nd coming over of the manager, I must have seen at least two lineups of girls for the other guys. Boy, I was sorely tempted to go for the full-works.
But I managed to stay disciplined and go for a veggie massage. You can do the same for your colleague.
Tell him that as a bonus for a long, tiring trip, you will take him to a macau sauna for a veggie massage. Hopefully after seeing all those lineups, his willpower will be weaker than mine and he will change his request for veggie to the full-works. Like most first-timers, he doesn't want to do it alone and will beg you to change your original request from veggie to full-works too. Of course he will have to badger you a few times until you reluctantly change your request to show your support.