So I just finished the mission where you can choose to murderize Dijkstra, and decided to see what his bathhouse would be like without him, if the eunuch was running it or what.
Turns out the place is haunted. Wandered around the joint hearing ladies laughing and men chuckling, but nobody was in there.

Is this supposed to be, or am I getting an odd glitch?

It was the same to me, too.
I guess the laughter come with the place music, and is not related to the characters.
So, the characters aren't there anymore but the place sounds and music keep playing, laughter included.
I guess this is some kind of weird bug... weird and creepy...