That's the point, they always get caught, their incompetent and can't be trusted. That's just one reason why we limit their power. In a country where the President can't get a hummer in the White House without the whole world knowing about it and high ranking FBI and CIA employees on the KGB parole, just how long would this secret last.
Again I see no legal problems with doing it overseas.
The Israelis have never been caught, although they did screw up and kill the wrong guy once. After the operation was cancelled it did get leaked though. But they did manage to hunt down and kill every PLO terrorist responsible for the Munich massacre.
BTW, it's "they're" not "their".