1. If you subdued a wench you'll get a menu after the battle of ravishing her or sending her to the interrogation cells. If you didn't encounter this menu you killed her (must use 100% subdue against her).
2. In the palace, choose the left door. In the hall choose the middle door (some players miss it, I'll fix this) to the holding cells.
3. I'm in Discord most of the time if you still need help. Good luck!