The reason they don't allow such concepts as prostitution and brothels into their game is rather simple: to avoid controversy.
Marriage is of course a very common and acceptable practice around the globe. Lately, even six has been becoming less of a stigma to the media and, indeed, video games. Mass Effect is one of the primary examples of this, as well as the Witcher.
Prostitution, however, is a very looked down upon practice, still surrounded by a dark shroud of disapproval from an overwhelming portion of the population. It's a widely illegal activity with many risks, and not too far separated from the even more dubious portions of the 'underworld', being tied to drugs and other 'bad' practices.
While both marriage and prostitution involve six (usually, anyways) the overwhelming differences between the context of the intercourse is why, put bluntly, that games allow 'lovemaking' and marriage as opposed to paying for six and brothels.
Now, to continue, imagine a game selling the idea of someone's character becoming romantically involved and perhaps six becomes part of that, if only for realism and some other reasons.
Now, imagine a game selling prostitution and such. Imagine an elder scrolls game, part of a very popular series that doesn't particularly involve or focus itself around activities such as drugs or six (though there are bits here and there, such as skooma, moonsugar and alcohol).
It's hard, isn't it? The point is, there is a huge difference between marriage and six and prostitution and six.
Also, while I understand that some would point out that murder is generally seen as worse than prostitution in legal terms, I would like to remind you that there is a (disturbing?) tendency for the media to care more about the idea of sixual content in a game as opposed to violence and bloodshed, and this has carried over to what people are allowed to sell to consumers and expect to make a reasonable profit without needless drama.
Anyways, thanks for reading. Just thought I'd put out some personal insight of mine to help the conversations.
I understand what you're saying, but take Dragon Age: Origins as an example. It contained an "interactive" brothel for both men and women, and the game was still hugely popular. I'm sure there was some controversy somewhere, but I never saw any regarding their inclusion of "The Pearl". What's funnier is that a massive percentage of people who absolutely adore that game are women. So, I really don't think prostitution and/or brothels are as big an issue as you would like to think. Not that I'm saying prostitution isn't a controversial issue, but I don't see the inclusion of a brothel in Skyrim as being something that deters people from buying it.
I do not understand the appeal of brothels or six in videogames. How much more fun is it to even do that in a video game?
How much better is it to have six in movies or books? There's really no difference. It's all entertainment. Some people, for whatever reasons, would be happy never seeing six in any form of entertainment. And others, for whatever reasons, find it more gratifying. For me, it's a natural inclusion to a "role playing" game as six and/or love is typically the most important thing in people's lives. And a setting like Skyrim's that didn't include at least one brothel seems unrealistic to me. These types of establishments are just as normal as taverns in cities throughout history.