In Exile, Liberty...

Against all odds, an heir infiltrates the empire to rescue captives and restore citizens.

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[via The Wandering Heretic]

The fact that the Magi chose to give such an explicit act of allegiance to a king outside of their own countries—a ruler they openly identified as the "king of the Judeans"—would have earned them the displeasure of their local leaders and families. Such displeasure in the oriental kingdoms usually earned public dishonor, banishment, and even execution. To do so in such an open fashion was to invite such a response.

Nor would the Magi have found safe haven in the country to which they traveled. Herod would not have taken too kindly to being asked to his face where the new King of the Judeans resided. As the slaughter of the innocents later illustrated, giving allegiance to a King other than the one currently on the throne was a dangerous, treasonous act. Had the Magi not left Herod's borders secretly, it is not doubtful they would have met a similar fate as the children of Bethlehem.

Finally, the allegiance of the Magi to a King both outside their territories and not appointed by the Emperor would have put them under the interdict of Caesar himself. The Caesars knew the function of religion in the first century; it was to reinforce the rule of the elite and pacify a diverse set of ethnic groups into a single obedient whole subservient to Rome. It was not for naught that the emperors were given divine honors during their lives and were officially divinized at their deaths. All gods would be recognized as long as Caesar and his Empire were the highest and most consistently honored of them. The ultimate allegiance had to be to Rome. When religion did not suffice, the force of the Roman army made up the difference.

So the actions of the kings were dangerous and treasonous...Yet they still came.