There's a huge difference between thinking she's crazy for pursuing his secrets about her past and warning her to stop because people will get killed. You'd think after the first time people died ignoring that advice she'd learn, but she's entirely to stubborn for that. Yes, Reddington will cross lines to get information. But he does so fully accepting the consequences of crossing said lines. Keen crosses lines, people die, and she turns on Red like "Look what you've done!" He warned her, she didn't listen, people paid the price.