sorry but thats utter rubbish - having sex in a brothel isn't a crime for the punter. And the chances of being called as a witness are close to zero
‘’Utter rubbish’’... is that an educated statement based on your knowledge and experience as a solicitor or as a policeman?
The Police generally raid a brothel when there have either been complaints (usually other residents) or it has come to their attention through other means. If you are in the brothel when it is raided or if the Police attended after being called, you will be asked to provide your name and proof of identification, refusal to do either will probably result in arrest. Whilst you may think this is utter rubbish, you don’t know and the Police don’t know if the lass you just podged has been trafficked or not. You may have just broken the law but until all suspects have been interviewed no one knows, and if the matter goes to court you CAN be called as a witness.
Feel free to Google the relevant legislation whilst you clearly are up to date on it all

It’s all about staying safe and acting in a manner you’re comfortable with. If you’re happy to pin Sergie against a wall and get your money back go for it. If you’re not just walk away and put it down to experience, better to loose £80 than to risk being hurt, ringing the Police isn't really a good idea.