Maybe have 1 or 2 chances to mess up before the bad ending.
The first time you're caught they think it's kind of hilarious that you thought you could escape before locking you up again. Later you get to try again though with an increased difficulty.
The second time you're caught they are genuinely angry. Get caught a third time (even tougher!) and it's curtains for you...
Although the 'never seen or heard from again' may be a bit dark for such a fun and colourful world. Instead of dying/vanishing, after being with the criminals for a time you get stockholm syndrome and decide to become a criminal yourself. The bad ending could be you ending up in prison after a botched donut heist.