No they don't. There are some complete nutters in Western politics who have never been jailed and are not likely to be. They are more likely to face the consequences of any law breaking where the "ruling classes" wouldn't and are also far more likely to be under scrutiny by someone looking for a reason to justify the prosecution but they do need to actually commit the crime.
Absolute Monarchies seem to be much better at getting things done because they can avoid the committees but Western Democracicies overall are much more reasonable and tolerant of dissent, even if not by as much as is claimed.