My dad took me when I went to HK for the first time! My parents are old school HK and I also feel the same way as you guys when I think about my mom.
First time my dad took me to the saunas I didn't know what to expect, and we didn't really talk about it. Afterwards whenever we go to Shenzhen or Guangzhou we'd always stop by the saunas or the massage places at the hotels and just enjoy. We go in together and come out, and then we never talk about it, so no one knows what or how far things went in the private rooms with the massage girls.
Once in a while my mom would ask me if my dad goes to those places, and I said yeah I went with him too, but we just get massages. I didn't lie because I honestly don't know if he did anything more in there.
Like Jake says, what you don't know can't hurt you. Works for me, works for mom AND dad.
When I have kids, I'm definitely gonna take my sons out mongering.