Tony’s shrink’s Italian family was embarrassed by being associated with the mob as well. In one scene, Dr Melfi’s effeminate ex husband goes on and on about the achievements of Italian Americans and gripes about how Italians are stereotyped as gangsters.
In one episode, Dr Melfi is raped in the garage beneath her office. She identifies the rapist. The cops totally failed her. The rapist goes free. Her ex husband was impotent because he was too afraid to exact revenge.
Melfi took great satisfaction knowing that if she asked Tony for justice, he would crush the rapist like a bug for her. Like Bonasera asked Godfather I to punish the men who raped his daughter. The mob provided a justice system of its own for the Italian community.
The only problem was, you would be getting in bed with criminals and their criminal activities. Rough justice from an otherwise non-criminal person is one thing, but rough justice from career criminals who expect you to return the favor in some criminal way is another.