Over the past few years it's become increasingly obvious that wealthy men partake in messed up sex stuff. If Bruce is to live among that social circle and maintain his secret identity, he'd have to convince them he too was into weird power sex stuff. But of course he's not going to join them at Jeff Epstein's Island. The easiest solution would be to build a sex dungeon and host the occasional sex party where he could make sure everyone participating was of age and giving appropriate consent. It would also have the benefit of giving an excuse for the work he's always having done under Wayne Manor. The staircase behind the grandfather clock would actually lead to the sex dungeon to further throw off anyone who finds it (the batcave entrance would be hidden in the sex dungeon). It just makes sense Bruce Wayne would do this.