Obscure organizations are willing to pay massive amounts of money for black market items and all. A government has a lot of legitimate expenses and money movements are to some extent traceable.
Illegal organizations don't pay tax and have more money to pay for things they want. Plus they have access to illegal funds, blood diamonds, arms trade profits, slavery, piracy, ransoming VIPs, prostitution...
Who knows what a live alien will fetch to some perverted billionaires? As for consequences... well, without Elerium, what can they do?