So I got the task to capture Cassie from the Don. I went over to her and talked. Some time later, I went to revisit her, she was missing and I found her over at the Don's place. I kinda speeded thru the dialogue so Im not sure what they exactly said. I also heard that I could have a game over while/after rescuing Cassie. How do I save her without ending the game?

nvm I learned the quest is different between lust doll and lust doll +

Yep! You have to talk to fawn, , revisit her again, and talk ideas. after that , go talk to Arlene (fish woman cop) and talk to her about it, you should be visiting fawn with Arlene to discuss how to recue her, if you are done, talk to either Lin Lin or  Sammy about the guard's scaedue (absolutely do it helps a lot.) and i think you can continue from there.