Yeah, he is a good actor, but that does not give him a get out of jail card.
He's in trouble.
Why? What law did he break?
He didn't break any laws.
People in the Mexican film industry were contacted by some of El Wapo's circle because El Wapo wanted to sell his story as a movie.
The best actors, like Penn, are forever interested in the human condition, even the worst of the human condition. It allows them to practice their craft as realistically as possible. For instance, when an actor portrays Hitler on screen they do mountains of research into his personality, habits, childhood, etc... It doesn't mean the 'like' him or 'support' him in any way.
But Faux News and con-media never miss a turn at demonizing Hollywood, so you have the flailing of arms you see now.
Was it prudent for him to interview El Wapo? I'd say not. But no criminal activity took place.