On HK island civis really have two places you can go to have drinks and listen to some good dancing music without being accosted by freelancers/dhs. You can go to a club/bar in LKF, occasionally pay door entrance, pay for expensive drinks, stand at the bar, and hope you can find a girl who doesn't mind dancing with a much older gentleman.
Or civis can go to Mes Amis/Dusk to Dawn to have drinks and listen to good djs or live bands at Dusk to Dawn. The drinks are very affordable, there is hardly a door charge, and the civi crowd is older. Because wanchai is so affordable, there are many female civis who like to go there too, but because so many places have a sleazy feel to it, they tend to congregate at places like Mes Amis and Dusk to Dawn which are really social bars with cheap drinks and great music to dance. These girls especially like Ladies night at Mes Amis because drinks are practically free until 1am or 2am (i forget). They don't have to depend on a guy to get drunk.
You should not have been embarrassed to see your female colleague in Mes Amis, instead you should asked her to join you for a dance and drink. Of course it may have been she who was more embarrassed because now she could not pick up a guy there with you there to witness it and you possibly gossiping about that ugly guy she snogged at the bar.