Jay Gatsby was a criminal. That's gray. It's hinted and perhaps likely that he was a bootlegger. As that was legal before prohibition and after, it's hard for me to morally judge him a criminal what with his character never having been charged and convicted of any crime.
I think there's a great deal of evidence to suggest Capone was more than a run of the mill tax evader even though all they nailed him for was tax evasion.