I DO NOT KNOW CHICAGO SOP!! First, about the Red Lantern: Provide some LINKS! ... Do they have photos / names in their ads? Can you make an appointment to see a particular masseuse? If the masseuse you meet is someone else (you made an appt to see Amy but they bring out Sally -- and you are not thrilled by Sally) or it is not the girl in the photo (bait and switch), you can excuse yourself and leave. Of course, if you are pleasantly surprised by Sally, stay!  
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In some locations, "lineup" is SOP or can be requested. After you walk in but BEFORE you pay the fee, ask if you can meet who is working or who is available now (you won't see those who are working that day but busy with someone else at the moment).
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As far as costs go, some not too outdated numbers are $80 House fee + $80 tip (for HE / HJ) = $160. I think your masseuse did you a favor by asking for $1500 as it made your decision easy. If she or even someone more attractive to you had said $500 or $300 you might have struggled with Should I? Shouldn't I? and maybe still had regrets.