I figure most of these criminal movers and shakers are very intelligent but also not particularly well-educated. They’re typically making money as teenagers. Furthermore someone with that kind of personality might not make a very good lawyer, doctor, accountant, etc. Some people find that kind of lifestyle exciting.
They may have also missed opportunities. The American Mafia used to be much more powerful, in part because of discrimination against Italians. The main character in Goodfellas probably suffered form ADHD and dyslexia (before people really knew what these were, so no treatment options) so was doing very badly in school. He probably wouldn’t have graduated, or shouldn’t have achieved enough to graduate had he done so.
Different people perceive risk differently, as well. Chapo went years and years without getting caught. Yes, his quality of life suffered, but he was rich, protected, and could summon hot actresses (apparently he’s a big fan of Kara Del Toro, and met her once).
A few years ago I read a book by a reformed criminal. It was semi-autobiographical, although it ended differently (the main character got killed). He started as an extrovert who loved meeting people and partying. He made a lot of friends this way. He started making money, too, stealing cars, selling fake IDs, and so forth. By the end he was paranoid, hated meeting new people for that reason, and sacrificed friends for money, which is why they killed him. It was a very sad story. I wonder how many “master criminals” are trapped in that lifestyle.