Fate magazine promises True Stories of the Strange and Unknown, so they're saying this really happened. Sometimes Baal or Ba'al is an honorific title for a master or lord. There are also many deities that share the name, and some demons as well. The name contributed to the creation of the name Beelzebub (originally Ba'al Zebûb). Given the whips, fire, and naked ladies I think it's safe to assume the Baal demanding these orgies is the demonic sort.