In the US, the police have no requirement, legally or otherwise, to hold your hand in avoiding a crime. Police can literally advise you how to commit a crime, and it is on you to not do so. The onus is on you to not be a criminal. Sometimes that means being extra careful. Sometimes that means hiring an expert lawyer and getting them to come up with a regime, and in fact that's like their whole job other than litigation. But your expert lawyer can be wrong.

Coinbase hired expensive lawyers who told them "we think if you do it this way it's not a crime", the SEC disagrees, and it's up to the courts who is correct.

Arguably the SEC doesn't actually make the rules, and is only tasked with enforcing them, and thus they can't actually give advice on the law because their interpretation of the law might not be correct!