I can think of a few where the artist gets involved with criminals (Ga-In in "Irreversible," where the criminal wants to free her from her relationship with him, "Anyclub" where Lee Hyori is getting romanced by the evil organized-crime dude who wants to move in on the club where she works) but not where the artists are themselves the criminals. I assume it would be a hard sell in K-pop (or at least hard to get by network censorship). But then, I've not seen that many vids, and these days I'm realizing that the live TV performances are often more intriguing than the MVs.