I've thought about that too actually. Rather than them not being able to catch her (They're the FBI for god's sake, I think they can manage to catch a person with the amount of time and facts they have), I think they benefit from her being an active member with a known activity. Maybe use her as the little piece to slowly break the whole chain, rather than just capture her and put the B.O. on their guard and give them a reason to try and become stronger. Or maybe Vermouth is just not the person that we think she is...maybe she's on another side in reality and is a spy B.O. member...or maybe James the FBI leader is the big B.O. boss and he does not want to do that because she's his favourite.....lol theories are getting crazy here but it is really excitng that the good guys can do something about the bad guy but still don't take action... it adds to the mysterious profile of the series.