Been a couple of times.
Have a look at ISG - there are a couple of reports of houses of ill repute.
There is also SPICE - which is a swingers resort.
Sadly - if its there - I didnt find it - although I saw quite obvious adverts for lapdance clubs, I personally stayed away as the internet said its very expensive for what you get.
Do you have to go to LZ? Other islands in that area can be better?