I had an experience at a place called 신림셔츠룸, and while it was definitely a good time with a more private, comfortable atmosphere, I also felt much safer knowing it was above board. The staff was welcoming, and everything was professional, which made the whole experience much more enjoyable.
I've been to a few places that aren't strictly legal before, but I realized that the peace of mind I got from knowing everything was legit was worth a lot. It's definitely a personal choice, but I think sticking with legal venues usually keeps things safer and more fun overall!