The game doesn't react to it. No one will realize you robbed the mages guild, you will just forever be the new recruit of the college. Guards are not looking for you, college mages do not attack you or try to catch you afterwards, your fellow thieves don't congratulate your risky yet successful heist.
All possiblities of what the player might do are of not course possible to include in the game, but an item related to a thieves guild quest located behind a quest locked door should be one of them.
Well that's an entirely different complaint, because you can hardly isolate it to that case alone.
But in defense of why things aren't like that: it's very difficult to create an open-world game with severe, world-altering consequences (NPC dialogue is actually a pretty severe world consequence). The type of AI you're looking for is years away, because you're thinking of an unobserved burglary being discovered, the guards being informed, an investigation being started and carried out, involving questioning, searches, etc. That would, of course, be very fun, but it's nowhere near possible.