Police should be call.. At the end of the day is robbery..
That would be a brave decision, as informing plod could end up opening a can of worms. Depends upon the OP's circumstances, but I wouldn't trust the cops to be discreet based upon my past experiences (not punting related).
Personally I would chalk it up to experience. He's posted a neg here, and she should be on the blacklist based upon the OP's account. Given the circumstances he found himself in, allowing himself to get caught up in a ruck in the whores residence would probably only make a bad situation worse.
Inform crimestoppers or report it anonymously, call the benefits agency, etc, if it makes you feel better OP, but I would advise caution and careful thought before giving a statement to the police.
Well done on informing us though.