[NAMELESS SPOILERS]
I don't think we can have sex with him without serving him. Since sex scene with him is 'a reward for being straightforward with your desire to serve him'.
Right now there is no obvious downside, but we currently don't know how it'll affect the rest of the Nameless storyline.
As it is stated in the past comments, backing up your persistent file is the only way to prevent Nameless from detecting your save&load.
Borrowing from Itsara's comment
In PC version, persistent file will be in 2 folder one in save folder which is located in game folder and another one in %appdata%>renpy>lustfuldesire...
make sure you haven't decide the choice of true desire, or it will be detected.
And in case you want to see other choices, replace the current persistent file with the backup one, save files after the choice might also need to be removed temporarily.
[NAMELESS SPOILERS]
You don't need to serve him at the first time you meet him. For me, at first I should to keep everyone safe. But during Nameless event at Plain of death. He will invade our mind again and ask us if we are gonna change our mind. If we choose to serving him right there. He will give us a reward (sex scene). Otherwise, he will leave.
ah so that's how it goes if you didn't serve him right away at the 4th nightmare..
In my case after he warned us, he asked if we truly wanted it because we were so straightforward about serving him, this was one his rewards. Then you have 3 chances to not have sex with him. if you refuse him during the first two he will get annoyed, during the third option he'll let you stop because there will be a nex time anyway.
Edit: I decided to be more precise and add about the part that he rewards us for being straightforward with him about serving him..... but you already mentioned that previously.. my bad.