Sure, it happens. But other than being polite, and exchange pleasant conversation before and after, I try to avoid anything deeper. When I hobbyied I used to see a small group of favourites and occasionally try out a different SP when I was in the mood for variety. I never got too close, even with the SPs I really liked, because I could never tell if the feelings were genuine, and I didn't want to be naive/stupid like some other pathetic schmucks who hope that an hour of paid sex (even awesome paid sex) may lead to friendship and romance. You can like, respect, and enjoy a person's company, even look forward to both conversation and sex, and not have to get too involved.
SPs liked to talk to me, though, (maybe even too much) and what I've learned from their stories about their other clients tells me that the guys who develop emotional bonds with SPs end up losing more than just their feelings, and that the depth of the bond is proportion to how much they get screwed (not in the good way).
If I wanted sex with an emotional bond, that's what an SO is for. If I want something new and exciting, that's why I hobbied. If an SP wants to be my girlfriend or "lover", (a completely different thread), then we can go out on dates and have sex without me forking over money in an envelope. And that would be great!
Bizkit