A few reasons. First of all, shutting down that one brothel instantly wouldn't give them the insight into the human trafficking industry in their state compared to observing it for awhile, then shutting it down. Saving those women is important, making sure the pimps and madams don't just replace them with newly imported slaves in a new location 5 minutes after you close them down is even more important. Also observing the operation for awhile gives you a chance at finding the people pulling the strings and whether this might be a smaller part of a large operation. And you get a chance at bringing down the kingpins, rather than just the people at the front end of the operation, that's important, and disrupts this kind of disgusting activity far longer.
Also it takes time to assemble the evidence you need to take something like that down permanently. Legal procedings do not move like lightning and if you move before you're ready, you can wind up with some people who really need to be in jail slipping through your fingers instead.
Also even beyond that, it helps to take the time to make sure who you need to arrest and who you need to rescue and no, that is NOT a clear cut question most of the time in these operations. A seeming madam could have a string puller behind the scenes, or could be a victim forced into that role without much choice. In a situation like this victims are very often forced to victimize others, so the more you know the easier it is to be sure, and going in there like a dog into a flock of pigeons is a great way to NEVER be sure.
