This is a tough one to address. For example, if you try and sell someone drugs, and they give you a wad of cash, but its so big you don’t count it until you get home. you find out that there are fake bills in there with the real money, but you also shorted them on the drugs in the first place. You can’t really go to the authorities and say that someone gave you the money for the drugs because you would implicate yourself and therefore are doing something illegal.
On the other hand, let’s use online role-playing games for example, if someone tries to sell you “imaginary gold” for hard cash (which by most EULA’s is not within the terms of playing the game) and you pay via check or something that takes awhile to clear the bank, and they give you this “gold” and you turn around and let the check bounce, or stop the payment, you are still financially responsible for the goods because the trade is on “illegal” within the game’s terms only. This would still be a hot check and a legit debt in which the authorities could pursue.
So I guess I am answering this question as no, and yes. All in all the moral of the story is, don’t risk it. If you were to scam someone scamming you, whether illegal or not, the repercussions could end up causing you much strife.