I would have thought that it would only be illegal if the "proposition" took place on the street. I wouldn't, however, attempt to collect a girl from a known Red Light Area, that would be just asking for trouble.
I have often picked up girls from the Railway Station and can't see an issue with that ( I mean, girls booked from AW that don't have transport of their own - I don't like girls arriving in Taxi's or those that have "drivers"). I don't think for one minute that the Police would be interested in following girls unless it was within a "known area". The girl however, may be followed by other people - eg., for benefit fraud.
The point is that, whilst it may not be illegal to pick up a pre-booked girl, do you want to go through the hassles of having to explain yourself and possibly getting a letter to your home!