Because Rocco is their friend
Rocco is their friend, and its likely any crime that would have pushed him onto their "list" would have been overlooked to some extent. Rocco even questions them:
Anyone YOU think is evil?
And its clear that while they think Rocco is a bit dumb in a friendly way, they don't think he's evil. They chastise him whenever he commits an immoral act, threatening the priest, groping the dancer etc, but they still don't think he's evil. He does go to kill the Russians, but he doesn't, they do. And again, those he goes to kill and does kill are guilty anyway
But they do think the two guys in the other booths are evil, hence they kill them. Rocco even offers and they say no I've been waiting for this guy.
And when Rocco struggles to kill the "Grey Man Assassin" the brothers let him struggle to make him "earn his stripes" and make up for past mistakes
Rocco never (truly) broke their rules
Rocco is constantly referred to as "the package boy". All he does for the mafia is deliver packages. Yes, he worked for mafia, but he never actually took part in the evil acts. He was witness to many as shown when they discuss the various mafioso they intend to hit.
And while this next section comes after a certain scene
Rocco's Death, and the discovery of their father
The Saints announce their rules, which if you consider Rocco never actually broke them.
We do not ask for your poor or your hungry, We do not want your tired and sick.
It is your corrupt we claim. It is your evil, who will be sought by us.
With every breath we shall hunt them down.
Each day we will spill their blood till it rains down from the skies.
Do not kill, do not rape, do not steal. These are principles which every man of every faith can embrace.
These are not polite suggestions. They are codes of behavior and those that ignore them will pay the dearest cost.
There are varying degrees of evil. We urge you lesser forms of filth (pointing to Yakavetta's people, that they know are evil and have probably done evil things but have no knowledge of specific acts) Not to push the bounds and cross over into true corruption... into our domain.
For if you do, there will come the day when you look behind you and see we three. And on that day you will reap it.
The only crimes we see Rocco commit is murder but those he murders are themselves bad people that the saints would judge guilty anyway. He may well be guilty of theft, though we don't actually see him do it other than the removal of money and things the Saints remove off their... I'm not sure what they would call them. Victims? Prey? Evil Doers? They remove these items seemingly to pay for things to support their cause (weapons, money clips, briefcases full of money, pagers phones etc).
The only exception to this is probably the Bartender, but this probably falls under my first point of a crime that is in a grey area for the Saints. Clearly the Bartender knew more about the Mafia then most low level members such as Rocco's two cohorts which are shocked he survived, they explain
He knew before we did!
So the Bartender may well be on the border of crossing into the Saints domain, but not quite, but the Saints let him get away with it due to their friendship
Rocco is not guilty of breaking the "codes of Behavior" the Saints follow