Hmmm,... It is becouse they are right!
First thing first:
There are two kind of playstyle in SR Pink Mohawk and Trench Coats. You should propably know them already, but just to be sure: A Troll who jumps on a police car, during car chase, and 'shootin stuff' with Panter XXL in one hand and some HMG in the other, plus a pyro Elf, with a underbarrel Flamethrower under... wait for it... flamethrower,... those are perfect Pink Mohawk examples, right?
While Trench coats,... will do everything to stay in the shadows. They have a target, they gather intel, compose a plan, and proceed with it, and then the extraction plan, of course they will have a plan for few contingencies. But for sure, of nothing will f00ck up no one will ever hear about them,... if they are in the news, it is becouse they either wanted it and it is part of the plan, or the are beeing framed.
Ok, next: Is it really a problem? Yea,... it is not the time for such a question, yet.
Listien, SR is a nasty world, were beeing killed is one of less nasty things that might happen to you. You are a runned, that means, you do illigal stuff. You propably are SINless, thou you are illigal on its own rights. You do things against corporation, goverment and crime organizations. Only thing that keeps you alive is shadowrunners credo. Shadowrunners are friends on the street, with exepction to missions.
This is why you need contacts and street creed. You are resonably safe, as long as you have friends.
If PCs are noobs as well, than it is simple, Johnson will 'gladly' explain the runners etiquette. Including beeing framed and disinformation. Friends [nobody gets into running buisness without proper contacts first] will gladly tell them how to not get killed or captured on the run. And Contacts will gladly take such noob runners as buisnes,... lets say investmen. IE A forger will gladly sel SINs, along with siting down in a Safehouse [for a charge in hands of another contact] is best way to vanish from police and public radar.
But you should remember one thing:
"They are not alone". Assasination? Commiting a abduction [extraction for runner naming]? or just simply snooping for paydata, are so frequent crimes, that no one bothers. Police [mostly Corporate itself, like Knight Errant] are companies, thou they are paid, and they are paid by people, and people whant what media say them they want. Until you are on the news, the is about one division per city, that is looking for low level organized crimes like shadow running.
But:
Propably police will not bother if will find out you are runners. Runners are good, sometimes. If you will catch a runner, propalby you will get paid to let him lose, either by Johnson, another runner, or the Corpo wich needs his servicies.
Running in shadows can be a game about details, and countermeseuring surveilence. As there are lots of them. Commlink? Few Y. Mad scaner? A hunderd Y. Cyberware scanner? Half tousend Y. Magical ward? Few thousand Y. Security contract? From few hunderd a month to bilions a day*. Magical sentry,... Spider,.... and so on... are are really in reach of citizen. And for a corpo, or crime organization? Thay really are capable of *renting a small merc army with altilery and takn support [top 10 merc, pdf].
So my advice? Try to speak to theam, to theyer reason, about what would be such world, and why it is still exsisting. And remind them this is a game, that is to be balanced. Yet another advice to you, try to regulate your attitude to their vision of world. It should entertain, right? If they want, or just are expecting that a destroing a securiti camera will alarm guards, do so when they will do something suspicious, like leaving a mag lock wired up with a data tap... opened