What do you mean by “caught?”
How can one be caught doing something legal? It’s not like the “yeah, but weed is legal in Colorado but illegal everywhere else” defense (excuse) that you’d hear back in the day, because he’s not getting drug tested. It’s more like how sports betting was only legal in Nevada prior to recent legislation. No one would get punished placing a sports bet.
I’m sure there are plenty of options for private service at different locations, or even low-down seedy Asian massage parlors, if that’s what he had chosen. I know that places like the Bunny Ranch offer private entrances for big spenders, and plenty of well known people frequent their establishment.
Kraft was just lazy and wanted something close to home. Considering the fact that he’s always traveling, has plenty of money, and even a private jet as his disposal, he could’ve been a lot more cautious and creative.