I have been once to a "place like that" out of curiosity (I don't care for being massaged). And yes, it is more exciting than going to church.
But I prefer to go to a gay sauna a hundred times. This is free testosterone! Also, people one sees in a massage place usually are not the most attractive.
I cannot speak for 100% straights, I am only 'somewhat' straight. The idea of being seen, massaged naked by a woman turns me on. Maybe what makes some men feel funny, as you say, is a low self-esteem from being fat, unattractive, old. Is there any difference here between straight or gay?