...he's stealing from the tax coffers in his own realm, with the judge's permission?
Isn't that one of those things that people get punished for because it's an abuse?
I don't think so because, IIRC, operating in your own Realm gives you absolutely no improvement on your infiltration skill. So beyond testing your odds or annoying the local lord, it doesn't really do much. If you want to train, you need to operate at an enemy realm.
The options generally tell you how dangerous it is to do. Tax Offices tend to be guarded so are a bit riskier, it's probably better to hit some warehouses or something as your first options. Go with low risk to reduce the chance of capture. If you don't care about your Realm, pick a Realm with many enemies, allows you to be caught more times before you're out of options. Once banished, you can also ask your Judge to see if he can get your ban lifted, trading an enemy ban for it. Always have enough gold to pay your way out. It saved me many times.