In my experience, there tends to be one specific type of Entertainment that a unit prefers (dance hall, brewery, rough bar, brothels, whatever). By visiting that type of Entertainment, you can gain a considerable bonus to Cohesion as well as Morale. When you find the right type, the "Your men like this type of Entertainment" message appears next to that type whenever you click the Entertainment option in the future.
But is it possible to have a unit that prefers none of the Entertainment types? My ruler character with a cavalry unit has tried each type of entertainment a half dozen times over the last several months, and cannot find one his troops like to get that Cohesion bonus.
Are you sure you've tried every type of entertainment?
Or just every type in a given city? You can't get them all in one place, you know....
does you unit survive long enough not to have additional recruits change the preference? (can't remember if that's how it works)
I've visited quite a few different cities, and my unit has lasted a while now. I'm literally talking months of having tried different Entertainment options.
One of my chars has the same problem with his unit, as though had it since just before the Arcaea/Zonasa/GA war ended on the FEI I still can't find an entertainment they like.