[RPG] How to deal with players that fight villains but are worse than them

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The long story

I started a Warhammer fantasy campaign with 4 players. Two of them were totally new to RPGs, and two others just slightly experimented.

They created "good" characters, not a chaotic one, not even a thief… A group that looked good for fighting against chaotic conspiracies, necromancer armies, goblins, etc. In short: classic stuff.

But the first thing they did when they came into the city that would host the entire campaign is to plot plans to earn by any way as much gold and magic items as possible. As one of the biggest treasures is the local lord's personal property, they are ready to steal, kill, or worse anyone that could interfere with their plan to take it, and they are willing to use ways like dark magic to do it.

As I understood they would be more interested in playing "villains" characters, I made some dark magic cults and criminal associations to contact them. But they automatically saw them as "bad people" and manage to kill them without even try to discuss. Once this "threat" was discarded, they went back to their plans.

The short story

They are plotting to poison the city lord to make him mentally unstable in order to provoke riots, insurrection or even a civil war in the city and use this chaos to attack the lord's treasure chamber and steal everything they can for their own profit.
But when they see a smuggling organization, they do everything they can to stop them, because they think to be on the good side.

The question

They are definitely not on the good side but refuse to admit it or join the bad side.

How can I make them understand the situation ? (Preferably without taking them apart the game, I would prefer to make them understand in the game.)

Best Answer

It sounds like they're having trouble because they can't figure out where the plot is. Their actions make it clear they would like to fight chaos, but in the absence of chaos to fight, they're filling time by lining their own pockets.

You've already made some progress toward the solution by giving them criminal organizations to destroy. It sounds like they really got into that and had fun with it. You should do more of that, but bigger. (What's the intended plot for your campaign? Why haven't they run into that yet?) If you keep giving them interesting things to do, they'll lose interest in robbing the city.