This kind of spy escape and evasion training may seem like it is full of criminal activities. You could use it for that reason, but that is definitely not the intention. For example, you can use locking picking to gain entry or to escape a locked room. Stealing from your captors to gather the items you need to escape is another very useful skill.
Under no circumstances is breaking the law condoned, suggested or implied. It is, in fact, contrary to escape and evasion philosophy. If you get caught breaking the law you may go to jail, and the whole idea of escape and evasion is to avoid capture.