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I'm fairly early on in the game, and I'm supposed to capture the maid, which requires a holding cell. Even though it says I've unlocked the holding cell, it appears to no longer be in my room selection (yes, I've gone up and down, expanded the windows, etc.). Is it a bug? Do I need to restart the game? What's going on?
This question / problem has been solved by Giesberimage
The holding cell is not a room by itself, it's an item you can place in the armory.

Try placing a new object in your armory (if you have one otherwise build one), you should see the holding cell between the objects you can place there.
Ah right, my bad. I managed to capture and interrogate the maid.