Not a single "could we stop supporting crime? Any ideas on how to go about doing it?"
We could stop supporting crime, and I think that the mods kind of do that. I report posts of people selling illegal goods like stolen/hacked credit cards and paypal accounts and usually the thread disappears, probably to the trash can.
The problem is moderating scams. Some sites seem scammy, but aren't. Other sites might seem legit, but are actually scams. You don't know whether a site is actually a scam until it scams. Investigating scams also takes a long time. People (e.g. quickseller) spend a lot of time investigating people and sites to determine whether they are scammers or alts of scammers. If it were part of the moderator's job to do this, they wouldn't have enough time to actually do their job of moderating and cleaning up the forum.
Additionally, the threads that scammers create, and the threads for their scams, should be kept for reference and proof of the scam. They of course should be kept publicly so people can view them. However, this of course exposes more potential victims to the scams. Which is why we have the trust system. Those scammers are immediately tagged with -ve trust which becomes quite obvious and then their sites and the people themselves are no longer trusted. The scam accusation threads are also referenced in those red trusts and those also describe and prove that a scam happened. The proof itself typically also comes from the scammer's threads.