Also, getting royalty involved would scare off Rough Diamond. She’d go into hiding and they’d lose the only lead they have.
 
Look at it this way: If they really did get arrested, then they could play their Friends with Royal Benefits card and get Twilight to free them. Until that happens, they deal with their mess on their own.

@Background Pony #5640  
That’s one of the reasons Twilight isn’t in this story.
 
Twilight is the only person who are established, by name, to be royalty or hero level status outside of Ponyville; the people effected by Discord directly.
 
None of Twilight’s friends are the type of people who would rely on Twilight’s royal status to help their careers or their problems much at all. (I’m fairly certain Twilight offered Rarity Celestia’s aid when Rarity wanted to visit Canterlot for a week or so.)
 
They are born adventurers and hard workers, and the they like to solve things themselves even if they are best friends to one or two princesses, or (ex.) have a direct dragon hotline to Celestia herself, who could solve the issues for them.
 
And to be fair, IDW DOES handle Twilight’s royalty status a bit better then DHX or DC handles Clark Kent’s glasses. When Dash said a very Link-esque comment ‘Nice job, princess :/’, a bunch of dumb pirates realized that despite Twilight’s small frame, she WAS a literal princess alicorn, and decided to use her for ransom…then Twilight used the cruciatus curse on them.

@Background Pony #5640  
You know how high authority can be in this situation. Completely incompetent.

@Background Pony #43A4  
Do you really think the cop would not release AJ, Rarity and Fluttershy if Princess Twilight or Princess Celestia would tell them: “These mares saved Equestria from Niightmare Moon, Discord and Tirek and wear chosen by the Elements of Harmony. I vouch for them, so if you don’t have any evidences for their involvement I would really appreciate it if you could let them go.”

@Background Pony #5640  
Too bad they don’t live in an oligarchy where heroes and friends of the princesses are effectively above the law.

@Background Pony #5640  
In a lot of shows and comics, somethings are left out so the plot can actually form. If that was brought up, this comic wouldn’t exist, or be cut several pages and not that interesting.

@Background Pony #5640  
what? and ruin the plot?

Too bad that you aren’t friends with any princess who could just tell the cops that three of you are national heroes and former bearers of the Elements of Harmony and therefore probably not jewel thieves.

That Rarity on the side…

Whulk confirmed for Smash Bros.