Buying out of places and catalogs means someone can track it back to you..people who do illegal stuff do not want it tracked back to them
Getting caught while stealing glassware from a lab is a much larger risk than having someone at a for-profit lab supply company play junior detective with your glassware order. This might not be entirely obvious while high on crack, though.
I think in most cases criminals are suitably stupid enough to make law enforcement's job much easier. Like, for example, busting someone who is trying to break into a lab with a security system, and then finding a meth lab in their mobile home.