Yes, you will be sacked from the brothel when he inevitably boasts about it 

Ok. I didn’t realise it would be against brothel rules. I’m really doing well at the brothel so don’t want to piss them off. In the future, maybe I’ll go solo, but at the moment I want to continue working there. Thanks everyone for the advice. I’ve only been working for a month at this so any advice is appreciated.

If they are not getting any of the money and you met him there of course they won't be happy about it. It's sounds like he won't want to pay you much anyway. Tell him he can book you for multiple hours at the brothel. I have had loads of brothel guys ask me to spend the night with them and they are haggling £10!! They are just delusional fantasists

If you do plan to go solo and "steal" the brothel clients at least only steal the nice ones that are respectful of your boundaries.