Someone earlier reported that it is bugged and that it did happen to him. Are you sure that there is really no such bug? maybe it is intermittent.
It's only bugged if you want it both ways that is:
1) You want to do brothels
2) You are okay with girls doing certain things (something like "I'm okay with cowgirl, but am not okay with missionary", or "I'm okay with BJs and HJs, but not anything else")
The bug is that you can not control what a girl does in the brothel. If you send a girl to the brothel (that is you, the player who made the decision to of your own free will) then she will most likely end up fucking a guy, which might not be what you're into.
If you just don't want any of the girls to sleep with other men at all, this bug is not an issue because all you have to do is **just never open the brothel menu**. The game is perfectly playable without touching any of the brothel content since all it's useful for is making money IIRC (Sorties also do this and pay quite well)
This is only a bug to be worried about if you want your girls to be prostitutes but only want them to do certain things while being a prostitute.