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.
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.)