I'll admit, part of my reticence re: a dungeon scenario is just that I don't think it really fits with what we know of Guy. Dark Guy isn't really a hedonist so much as an opportunist. He's not above a little bondage, as the opening to Chapter 4 illustrated, but I don't see him having a dedicated space for his proclivities.
The dude lives pretty modestly for a millionaire. As we saw last update, his second home is a renovated studio apartment in a bad neighborhood, which he kept for wholly sentimental reasons. I don't think he's a mansion-and-sex-dungeon type of dude.
That said? I keep imagining a scenario where Guy winds up at a party with the true old-money rich of his city, and gets a glimpse at the dark, creepy shit
those people get up to. Which could lead to him rejecting or embracing that kind of life. That's a ways out, though. Might make a good Season One cliffhanger.