You can do a perfectly seeming legal transactions with an entity that ends up being smoke and mirrors. In the case of real currency, the amount would need to be transferred through banks which can be investigated for crimes by authorities. In the case of BTC, once you send off that payment there is nothing law enforcement can do to help you if the entity who appeared legal was not so legal after all.

Feel free to talk to any fraud investigator and ask them just how common this kind of thing is. They spend their whole work day tracking these down, after all.