Question: If Voight's a dirty cop and everyone knows it why tolerate it? Why not set up a sting and take him down?
Answer: Also, if you watch Season 1 of Chicago Fire it gives a little history of Voight before he goes to jail when he was actually a "dirty cop" and Antonio Dawson is actually the one who takes him down. I found it interesting and was surprised by his character back then.
Answer: And cuz he's only dirty to the bad guys. He takes care of the victims.
Question: Trying to remember which episode had a literal 'black market' - crooks were pushing shopping carts down isles with signs indicating which contraband was stocked in which isle.
Answer: "The Merc" was a warehouse like store with aisles that sold mainly weapons, machetes, AK-47s, C-4, barrels of acid, etc. In s02e05, "Scarification", it was shown being raided by GCPD.
Question: How does Bakula afford that bar he owns? Do Feds really make enough to make such purchases?
Answer: It should also be noted, just because someone owns a small business (in this case a bar) doesn't mean they're rich, or they had to be rich or make enough money from another job in order to afford it. Banks provide small business loans and having steady employment, good credit history, solid business plan, etc would allow someone to get a loan. Most business owners even say they "own" whatever bar, restaurant, store, or business they run even if it's leased or mortgaged.
Answer: Because he is a great cop and gets the job done better than anyone.