The ones actually morally in the wrong here are the government, not the refugee vigilantes, for explicitly excluding refugees from the justice system. That's a fascist policy at work.
fair enough though I would say that if you're a willing participant in fascist policy, in this case being part of the vigilante group then you're not causing the problem but you are helping continue it.
So what do you expect them to do? They've already explained what happens if they do try to go against that policy and send their criminals to the proper justice system. Getting them just shipped back to you, free to continue what they were doing before, is not a solution. They have to keep order somehow, and this is the best they can do with the resources they actually have.