“... but DID NOT turn him in”
I doubt that he could have turned him in. These guys aren’t dummies. I’m sure Penn had no clue where he was taken to meet El Chapo and I doubt that Penn had the resources needed to detain him.
But he still could have done two things:
1) Tip off authorities before meeting him
2) Report on the meeting afterwards
I’m sure that the most likely culprit for how he was found was one of the phones, watches or other common devices that has an on board GPS that travelled with Penn and his team of interviewers.
So in a way, he did turn him in. Oops.