Two reasons: Maryland is one of the only states in the union that has such a law against the interception and recording of in-person conversations, without two-party consent. Second, although I'm not sure about Moore's "documentaries", Cohen secures release statements from everyone he films. Which is why all the suits that were filed against him for Borat (I believe there were dozens and dozens), were all dismissed with prejudice. In other words, Borat was deceptive about why he was recording his targets, but he wasn't deceptive that he was recording his targets.