How in the sam hell did you not notice the DPD headquarters? I mean... seriously, the building is huge and it's emblazoned on the side of the building. At any rate, they don't book people in a HQ, that's down the street.
All ladies have the right to protect themselves and decline to meet someone if uncomfortable. If a hobbyist is not comfortable with the incall situation then he should similarly protect himself, communicate his concern and move on.
Only happened to me once over the years, and the lady in question understood and saw me again after. This hobby has consequences for both parties after all....
I would have explained my concerns and asked to reschedule, not just bail out. If you're not comfortable, you're not comfortable. Doesn't need much more explanation than that.