You need to join the thieves guild to get access to the sewer entrance in Lain's house (if you talk to Lain first, he suggests you talk to Rob in the Ducal inn, and does not bring up thieves' sewer entrance at all). However, you do not need to join the guild or use that entrance to rescue Zandalor. You can use the Ars Magicana sewer entrance to get to the castle treasure room.
