Here is why you can enter Ul'dah without anything happen, yada yada yada...

Its an MMO. There are still some restraints to that. They can't just lock you out of cities for three months until the expansion, with the easter event coming up and maybe other little things. To prevent people from doing that wouldn't be fair and not to mention the amount of work and programming it'd take to re-direct EVERYTHING out of Ul'dah or even out of the cities to treat you like a fugitive.

It took them a year to make one class, alone. Even more for three for the expansion. Imagine the amount of time and effort it'd take to re-program everything to re-direct stuff.