Yeah, that's the key thing I could see being a problem.

What I would suggest in that case is you create a MIB-like agency that will get very suspicious if they get too noticed. And make sure the agents are at least as powerful as the PCs. (Maybe they could actually be Wizards, rather than the modern class Mage, though this isn't as "in flavor" of the MIB. A secret cabal of Wizards would be more appropriate for this.)