Why? If they're lawful that should mean they're less likely to steal, not that they're less skillful at it.
Because simply greying out the Thieving button would render them totally unable to open doors, which is of course one of the major reasons to keep a Thief in the party. True, a Lawful Thief would simply
choose not to rob people, but that's impossible to enforce, whereas a penalty is quite feasible.
I once designed a recruitable Lawful Good Bounty Hunter; he works for the city guard in tracking down & apprehending people, and he wears an undroppable Amulet that (among other things) sets his Pick Pockets score to 0 and renders him immune to all changes to Pick Pockets score.