The SEC exists to prevent fraud. It's about people having a choice between truthful investments. These companies are allowed to operate as they claim they are with relatively little oversight. What the SEC regulates is a company claiming they will use investment to do X and then the company does Y or keeps it for themselves. Which is also known as fraud. Like the DEA (an example of something unjust), Secret Service, and ATF, the SEC is a specialized branch of law enforcement.

What these personal choice fundamentalists forget is that lying is wrong. And when you lie about what you are going to do with someone's money, that's a form of theft, e.g. fraud.