Player can or must break the law in a manner other characters object to, call law enforcers for or even personally try to apprehend you.
The first video game about Criminal activity was released on July 1993.
Lock picking and various other tags do not automatically imply anyone could object to them, so this tag is mostly to clarify that player may not simply wander about plundering and pillaging.
Also, this does not require there are law enforcers, government, religion, etc. in existence, only for there to be some laws, rules, etc. to break, be they something people commonly accept to be there without having to spell them out or something actually written.