Question about conversation between Cagney and Abel

When Cagney and Abel realize that the Nazi agent has discovered the ruse, and that one of their own has died at his hands, they talk about what they decided to do could get them arrested. What exactly did they do that was criminal? Is it implied here that they did not consult their superiors about letting the Nazi agent go? This one conversation and its content just seem to come out of nowhere and are never explained. Thanks ahead of time for any information.