As a new FM trying to acclimate my group to the game for the one-shot we tried, I can see where you are coming from. Opening a fantasy book that has magic as a core component, and reading right off the bat magic is illegal and will have you jailed or killed before you even get into is a bit of a shock. "Let me show you this awesome thing that I know you'll like, and you've been waiting for, but first a list of all the bad things that will happen to you."
Malifaux is a gritty, rough place as @L3gion mentioned (and who I am piggybacking off). Coming from D&D as my only sizable tabletop experience with RPGs, it's quite a paradigm shift to understanding TTB that I still struggle with a bit (a TTB 1e oneshot is the only RPG I've run so far). In this regard, TTB seems more about players who are above-average making their way through a world that is a gritty 'realistic' dystopia - the government is corrupt and authoritative, pretty much everyone/everything is unfriendly, and scraping by for most people is more the norm. This is a big departure for my players because they have to shift from a swords&sorcery or dungeon crawl to a more cautious and consequential environment (depending on campaign/GM/DM/FM of course).
These things that 'Wyrd...do not want us to use" are things that are inconvenient for the player to deal with, but the character would want to have/use them (and would have to accept/plan for the consequences). Fated are operating in a grey area, and in order to be successful and/or powerful, your characters are probably going to be doing some illegal/shady stuff. Even if the Fated are 'good guys', it's more down to earth (down to Malifaux?) - some talented people step up (possibly reluctantly or for reward or because they were coerced) to save the day as best they can. Playing in those grey areas seems to be where the 'fun' is. Again, I haven't had much playtime yet, but that is the impression I get from reading the books and the forum, and it has been a mentality shift to craft the 'look and feel' of Malifaux for the players. Without approaching it that way, I can definitely see why it seems like you're not supposed to be doing x,y,z and would be frustrating.
Thanks for starting this discussion, I've been picking up a lot of info from the comments, and your premise was sort of sitting in the back of my subconscious as I was trying to adjust to the ruleset. Teasing out the 'intended' approach has been helpful to me in trying to teach and run the game in my group.