You have to think that what makes a journalist is his integrity. Meaning that if you snitch on people you interview, you won’t have another. Then, I also wouldn’t be surprised that the criminals use means not to be snitched about (maybe dig some dirt on the journalist, not using their real names or even wearing masks, meeting at hotels …). Also, even if it seems simple, you may need weeks of trying to get in touch with someone behind one interview.
As a journalist you can also try and interview criminals that got caught. This way, you don’t have to bother about anonymity and what the criminal will tell, he surely already told the authorities so that it’s not a secret anymore.
As for the criminals, I guess that a documentary about them is free and legal publicity, wether it is used to make people scared or try and sell their lifestyle (or make people back away from it depending on who you’re speaking with). And it is also an acnowledgement of their importance since you don’t undertake the making of a documentary (which needs from a few weeks to years sometimes) for something or someone that isn’t worth being talked about
Edit : typo
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