In the first act of Frances Goodrich and Albert Hackett's play The Diary of Anne Frank, Mrs. Frank expresses fear at doing anything illegal due to the consequences.
Mrs. Frank questions the wisdom of two whole families going into hiding together. She declares to her husband, "They say it's better for families to separate. That way if we're betrayed--caught!--at least the children ...." However, Mr. Frank ensures her that they won't be caught because their hiding place is ideal. He further argues that the children wouldn't have been able to understand or bear the thought of separation, just as neither he nor his wife would have been able to bear it. Mrs. Frank's worry of going into illegal hiding stems from the knowledge that, if they are caught, the Nazis might punish them even more severely than if they had not gone into hiding.
In addition, doing illegal things, things that go against the moral grain of society, simply isn't something her moral compass points to. The Frank family, up until the day they go into hiding, have lived their lives as just and upright citizens and are now being forced, out of survival, to do things that are out of character for them.