I feel like you guys just aren't a match when it comes to roleplaying. It happens. Talk to them about leaving the group.
However, I'd like to add that the problem may not only be with them. While not wanting consequences in SR is rather silly, your outrage about their characters actions baffles me. When you say "He had played Shadowrun before. We thought he knew how the world worked" I get the feeling that you think there is not only your "correct" understanding of how the world works (fair point, I guess), but a correct way for your players to behave in that world.
I'd like to make two points related to this:
You dislike the intent of their actions (being greedy bitches) when it is the execution that screwed it up. What is wrong with being greedy? Was what they did unprofessional? Maybe, but why is that so horrible? You let them steal the item, why not use that to create a story about them trying to sell it? Instead of preventing the theft (which you could have done) you use "he has a legal SIN" to quickly track them. How is THAT not the big problem? Someone using a legal SIN on a run is the most asinine thing about all of this. If anything, that is not understanding how the SR-world works.
Players should be included in storytelling. It is not only your story but the story the group as a whole decides to tell. Either you accept the actions of your players (and react accordingly) or you limit their options so heavily as to not derail your plans and thus force them to play THEIR characters the way YOU want.