You'd have to be pretty stupid to not know this was illegal.

The things people are actually going to track you down for you can be pretty damn sure are easily identifiable as illegal. Sure, you may not be aware your Halloween costume of a priest is illegal (illegal to impersonate clergy) but no one's going to arrest you for it. They could, but arresting officers probably have only a slight degree better understanding than the average person. Now, if you're shooting someone, raping someone, bombing something, those things are obviously illegal and it doesn't take a Harvard student to know this...or maybe it does.

How about switching cars in NYC subway? One black man in a suit got arrested for this crime.

Maybe that's why they put "do not move between cars" signs on the doors.

I'm not really sure how crime works in US but in my country there's sort of minor offence kind of thing when you just get the ticket or are being told by the policemen not to do that again. You may refuse to take the ticket and defend yourself in court. And there's a crime, where you can get arrested.

If you ignore "do not step on the grass" sign can you get arrested in US as well?

Depends on the grass. It would be unusual to be arrested just for stepping on the grass, but if the police ask you to get off the grass and you pull your pants down and take a dump, there's going to be trouble.

I know not to make fake bomb threats.

Well if that was the only concern that the police ever had, then I would say go ahead and talk to the police.

Don't break the law is fine advice, and really I don't think it needs to be stated here. Even so, even if you think you are following that advice, you should not talk to the police unless being in a jail cell is preferable to the situation you are currently in.

yes, better to have a real bomb threat

In which case, I'd argue a moral person should throw the generally sound rule against talking to police out the window, despite the fact that it'll probably make you the prime suspect.