There are blatantly illegal things you can do in any field of work. You need to be aware of what is and isn't within the law on a loose basis yes. Even labourers on a building site have to do some training to avoid breaching health and safety legislation (or at least to minimise the companies liability when they error).

You also need to have faith in the compliance team and senior management. If your company works in legally sticky territory like crypto doubly so.