Your post raises dozens of interesting questions. I lived in Zurich for a number of years, and spent a lot of time working throughout Europe and Asia, so can offer some perspective.
Simple answer—any system that tries to put activities that have significant demand totally outside the law will be much worse, because it inevitably creates a corruption problem much nastier than the social ills caused by the banned activity. The corruption can take many forms (LE payoffs, political hypocrisy, etc) but the corruption always involves exploitation by more powerful folks, such as pimps, cops, organized crime and politicians. This dynamic can be found in a wide range of activities, most of which have nothing to do with sex (alcohol, drugs, gambling, immigration, abortion, etc, etc), and is largely impossible to change because those powerful folks don’t want it changed.
No it is incredibly unusual for Europeans to greet visitors with detailed info about the local sex trade, just as they wouldn’t greet visitors with maps showing abortion clinics or the bars frequented by drug dealers or where you can find organized all night poker tournaments. But anyone readily interested in these services can, with modest effort, get the info they need, although the exact way they are organized may not be immediately intuitive to an overseas visitor. Just because Europeans realize that US-style prohibition is stupid and counter-productive doesn’t mean they want commercial sex activities totally out in the open. Only two European cities (Amsterdam and Hamburg) have openly embraced their red light districts, and both are much less enthusiastic than they used to be. Every country uses a different mix of restrictions and regulations designed to (a) limit the overall size of commercial sex trade (b) isolate it geographically in order to reduce visibility (c) minimize the real public health and exploitation risks (STDs, pimping, human trafficking, etc).
It is not heavily taxed in the sense that some countries place huge taxes on cigarettes or liquor or luxury imports. Sex workers have “regulatory compliance costs” that they need to pass on to their customers. As these cover the costs of things like rigorous STD testing, and licencing/reporting designed to help police fight rip-offs and exploitation, customers should be damn happy to be absorbing these costs. My strong sense is that the “high prices” you saw in Zurich were mostly just your reaction to dollar-Euro exchange rates and the high cost of living in European cities compared to US sunbelt. If you’d spent any time in Zurich supermarkets you would have seen an even bigger price gap versus what you food costs in Phoenix. But a couple other factors also affect prices.
Lots of variations by country, but in simple terms the European system pulls low-end, high-volume girls (what you’d see here in Phoenix as streetwalkers or the bulk of Craigslist/Backpage posters) into red-light district or brothel settings. But this reduces supply, because it cuts out girls who aren’t serious about the business. Street and Backpage prices can be depressed by girls who are clueless/utterly desperate/drug addicted etc. Although much has moved to the internet, higher price points in the sex trade were historically channeled through sex clubs of various forms, which made things easier for customers but added to costs.
It is not that “Europeans” are sexual libertines and more than “Americans” are repressed prudes. It is more that Europeans (socially conservatives and liberals alike) reject the notions that adult activities should not be banned just because some find them distasteful, and that enjoyable activities between consenting adults should not be totally unregulated, because there will be public health and other impacts that need to be addressed. No system will ever be perfect but, yes, eliminating the legal risks and corruption makes the European approach far superior.
