204man,
1) It is indeed still illegal to purchase sex, being under the Nordic Model. However like mentioned previously, it's not being enforced. If you are still worried about cops, I would suggest seing only reputable providers (reviews, active online presence like Twitter and Instagram and a website). Law enforcement wouldn't put that much effort into arresting clients.
2) In terms of massage vs escort, it's quite a different experience, but both can be very enjoyable! It all depends what kind of services you want, what you are willing to do and what you are comfortable doing. Maybe newbies start with a massage and happy ending and work their way to seeing a full service provider.
3) There is this myth (coming from stigma mostly) that escorts are disease-riddled. It couldn't be further from the truth. Our bodies and reputations are our livelihoods. We don't get to show up and give diseases to people or soon the word will spread and we won't have a job anymore. Most sex workers I know get tested at least every three months, sometimes more frequently. Nobody is the civilian world could say the same, of course they don't have the same amount of partners, but anyone who is remotely sexually active should get tested AT LEAST every 6 months. However, the only way to truly avoid STIs is abstinence. The moment you choose to have sex, regardless of protection, there is a risk. The risks increase with the services you choose to purchase (kissing has its risks, bareback blowjobs have their risk, DATY and DATO do too). All this to say, think about what's your tolerance regarding those risks. As a client, you need to get tested frequently as well in order to keep yourself, your SO and the community safe. It's a teamwork between providers and clients to be responsible of their sexual health.
4) As for COVID, there is indeed a risk there. Sex workers have to work to provide for them and their families. We don't have the same status as any other workers due to the legal aspect of our job and the stigma. If you are vulnerable or live with vulnerable people, then perhaps it is indeed best to not see anyone for the time being.
Hope this helps!