GIANT plot hole

I love this movie (and the first one), just watched it again with my girlfriend, she noticed a huge gaping plot hole in the middle of it:
why isn't Rico arrested right away once Sue is freed from his mansion?

It looks like Mick is more worried he'd have to explain to the police his trespassing and his gang being in that mansion, than the fact that his wife was held prisoner in a kidnapping by the people inside said mansion.
I mean, why don't they just say "hey! Police! I just escaped my kidnappers inside this mansion, go get them!". The DIA knew about Rico already, it's a 5 minutes case if you ask me, they have him on kidnapping right there, plus the photos in Sue's home etc.
Why is there a "we need you in witness protection program till you testify" beat in this story?
Even so, Rico and his men should have been in jail already waiting to be tried, not free.