for sure, everyone has their own acceptable level of risk in various scenarios. and let's not forget that there is risk everywhere, all the time, whether one is acting illegally or not. it is not a binary choice of conforming (whatever that might mean in a given situation) or acting illegally. acting illegally in itself has many layers of possibility and risk.
as an anarchist with strong individualist tendencies, i act illegally (according to the state) all the time, not simply because i don't care to conform, but because it is the very expression of my desires and self-determination. i tend to avoid acting in ways that (in my estimation) have a good chance of me being imprisoned, but that in no way means i don't act illegally. it means i choose my actions based on everything i can understand about the situation. in all cases, to the best of my knowledge, i act in the ways that best meet my needs/desires/agency in any given context.
so i still don't get the contradiction you are referring to. but that's ok too.