Why does Raven burn the Avatar on Ultima IX?

There's a "sex scene" in Ultima IX, where Raven ties the Avatar in a chair and burns him with some kind of branding iron.

He says "I don't understand", and neither do I. Definitely the most bizarre scene ever.

I thought it would have something to do with the story later, but it doesn't, or I missed it.

The branding marks the Avatar as being a member of the Guild, as the in-game book "Creed of the Guild" states:

None may enter a guild house without paying fealty. Those who have sworn their allegiance must be clearly marked with a brand, thus showing their willingness to be known and recognized as lifelong members of the guild.

No member of the guild will be forced to pay high prices when dealing with a shopkeeper who is friendly to the guild. (Source)

After the cutscene, a number of shopkeepers remark on the Avatar being a member, some referring directly to the branding.

James: Since I see you have the mark of a Guildsman, I'll show you only the finest of provisions. (Source)

A discussion between Warrick and the Avatar goes more into why Raven might have branded the Avatar with the sign of the Guild.

Warrick: Avatar! Brother! I see that you are now a member of the guild! Have you come to buy something?

Avatar: Raven thought it essential to my success in Britannia.

Warrick: Yes, we're at the top of our field! Being a member will open doors for you, get you into the finest taverns, and attract the most beautiful ladies. (Source)

And in the final cut of the game, that's the only thing that ever comes of being branded and part of the Guild. Raven branded you so that people would be more friendly to you and shopkeepers would give you better prices. You'd think that there would have been an easier way to do that.

However, being branded played a much bigger role in the original story by Bob White. In that version, there was a civil war brewing in Britannia with two factions based in Moonglow and Britain, and being branded was necessary to gain proof in order to stop it. Here is the summary from the Ultima wiki, pieced together from the outlines that Bob White released:

The Avatar heads back to Asylum and meets with Samhayne. He tells LB that he must get more proof of the war preparations so that LB can confront the factions. The only way he can find out for sure is to make contact with Sam's guild operatives inside Britain and Moonglow and "lift" some papers. Some of the guild objects to an outsider making guild contact so Samhayne talks the Avatar into joining the guild. The Avatar is branded with the secret sign and is sent on his way to his choice: Moonglow or Britain.

During the sea voyage [Lord British] gets another third person dream (flic) courtesy of the Guardian. This time LB sees the Avatar joining the nefarious Guild and being branded. LB becomes more distraught and is now wondering about the Avatar.

The cutscene of Raven branding the Avatar was commissioned while this script was still going to be used. After a tumultuous development, the script was simplified, but they still wanted to use cutscenes that they'd paid a whole lot of money on and reworked the story around them.^* That's why we still have the branding scene, even though the plot where the branding was important was cut.

^{* This also explains why the Avatar summons Pyros in Ultima IX, despite having killed him in Ultima VIII. Originally the cutscene had Lord British receiving a Guardian-induced dream of what the Avatar did on Pagan, and he gets concerned (and rightly so) that the Avatar was summoning an archedmon. When they dropped that plot, they didn't want to throw away the expensive cutscene so they reedited it and changed the Ultima IX plot so that the Avatar summons Pyros in the present. It may not have made one bit of sense, but it meant that the expensive cutscene actually made it into the final plot.}