And I've done it with some regularity in the four years since. No problems yet (knocking on wood while typing).
A few caveats.
1. Didn't start to play until my wife and I separated. Live alone, with limited visibility from the neighbors.
2. I screen as thoroughly as any of the ladies.
3. My first date with a new escort always starts with a public meeting, dinner, etc. Can usually get a pretty good read during that time - if its good, I don't hesitate to invite her back to my place. If in doubt, I usually spring for the hotel room.
Advantages are that I don't have to worry about a pimp/bf/rip off (although that's not a big concern with well reviewed providers), I get to control the mood (music, lighting, wine, etc), I don't have to worry about messy or nasty incalls, getting lost, sitting in a hotel parking lot waiting for a half hour, animal allergies or smoky rooms, and, most importantly, I don't have to worry (nearly as much) about a legal sting or bust.