My Dear friend... A pick pocketer also doesn't kill anyone... so is a chain snatcher or a car thief... But that does not mean they are left to roam free!
They are equally dangerous.... Regarding Sanjay Dutt.... I know he may have procured a gin for self defense... But the very fact that he could get hold of a Underworld guys so easily & get a gun delivered to His MP father's place... clearly indicates the link he had with them... He may not be involved in the Blast at all... But he definitely knew the underworld guys quite closely!