Yes, do ask your lawyer friend, I would like to know the definitive answer too !
As for saunas, they are legal establishments and so you pay them for the
'massage service and usage of their facilities'.
Supposedly what the girl 'does' in the room with you is on her own account
and she will take the rap is she's caught, not the sauna.
Any sauna will deny any knowledge of their girl's extra activities if they're caught.