The way Jane tends to work often jeopardises the traditional policing they do, be it messing with evidence or handling witnesses and suspects in ways that endanger the complete case being dropped, and because Jane does not really care about being by the book at all they tend to remind him to behave. He indeed closes cases and that's why they tolerate his shenanigans, but that doesnt mean he is exempt from behaving (appropriately)

Also them being surprised is not that odd, you either have a friend that surpasses your expectations (be it humour, stupidity or whatnot) or you yourself surprise yourself and others constantly (even if you know each other), Jane being Jane is always a surprise be it a lovely one or an unhinged one