Deliberate mistake: When Frank is fighting in the doctors surgery, both he and one of his attackers easily get thrown through walls, yet Lola's shots later don't penetrate to hit Frank when he's hiding in the storage cupboard.
Deliberate mistake: In the doctors surgery, Frank protects himself with a door from Lolas shots, yet the bullets don't penetrate the thin plywood door. It can't be a fire door because you can see inside the door through the holes made by the bullets.
Deliberate mistake: During the chase up the parking building, we can see Frank and Lola, but Jack in the back is barely visible, and when he is, it's quite clear that he was added during post-production or was just a dummy. This is probably due to safety reasons.
Answer: The police will just get in the way and slow things down too much. Frank can operate outside of the law and get more done and get it done quicker. Plus, they can't just take Audrey's word for it.
TedStixon