Let's take it as a given that they are aware of the concepts of the various cabals and the objects in general.
Plenty of people believe there was a flying saucer crash at Roswell. No one seriously investigates that though.
Plenty of people believe that there was a conspiracy to kill JFK - whether Oswald was the or a shooter or not. The authorities haven't advanced the murder investigation much further there.
Organized crime is an actual conspiracy involving high ranking politicians. There aren't a lot of high profile prosecutions of these people even though we know it exists.
There have been collusion between business and politicians to profiteer from wars. Haliburton comes to mind.
So even if it wasn't a secret, there would be plenty of politically connected people, (and who's to say the various organizations aren't? they looked like they had a lot of money in the show) using their influence with government agencies to get their hands on the objects.
And then it so happens that the objects themselves are ridiculous, as mentioned, so a secret war involving fanatic collectors and cabals fighting over wristwatches that can boil eggs is not something anyone is going to go public with.
That is actually the beauty of how the series is written. The objects, if not by virtue of themselves and their corrupting effects, then by the weirdness of the whole thing, create an immunity to public scrutiny.
And therein lay the drama. Most people want the objects for themselves so they keep it quiet. Then there are people who become fanatic or power hungry and they join the Order who, no doubt use their power and influence to keep it quiet.
When you do get people who want to fight for "good" they join the legion, because there is no one who is going to believe them. Even if they get the key, they're going to be pursued by powerful, wealthy, influential people who have objects themselves.
So when, finally you get a situation where someone completely selfless gets the key (Joe), you get drama. Because he's fighting for something outside of the lines. He just wants his daughter back. And there's no better proof of how insidious the world of objects is than the fact that he almost instantly gets cut off from society as soon as he gets one of them.
He himself said, he could have shown the authorities the key, but they would have taken it from him and he would never have gotten his daughter back.
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