The Magi disobeyed the government

The Bible indicates that we should generally respect and obey governmental authority: 

Romans 13:1 Let every soul be in subjection to the higher authorities, for there is no authority except from God, and those who exist are ordained by God. 2 Therefore he who resists the authority withstands the ordinance of God; and those who withstand will receive to themselves judgment. 3 For rulers are not a terror to the good work, but to the evil. Do you desire to have no fear of the authority? Do that which is good, and you will have praise from the authority, 4 for he is a servant of God to you for good. But if you do that which is evil, be afraid, for he doesn’t bear the sword in vain; for he is a servant of God, an avenger for wrath to him who does evil. 5 Therefore you need to be in subjection, not only because of the wrath, but also for conscience’ sake. 6 For this reason you also pay taxes, for they are servants of God’s service, continually doing this very thing. 7 Therefore give everyone what you owe: if you owe taxes, pay taxes; if customs, then customs; if respect, then respect; if honor, then honor. (World English Bible, public domain) 

The Magi, however, disobeyed: 

Matthew 2:7 Then Herod secretly called the wise men, and learned from them exactly what time the star appeared. 8 He sent them to Bethlehem, and said, “Go and search diligently for the young child. When you have found him, bring me word, so that I also may come and worship him.”

9 They, having heard the king, went their way; and behold, the star, which they saw in the east, went before them until it came and stood over where the young child was. 10 When they saw the star, they rejoiced with exceedingly great joy. 11 They came into the house and saw the young child with Mary, his mother, and they fell down and worshiped him. Opening their treasures, they offered to him gifts: gold, frankincense, and myrrh. 12 Being warned in a dream not to return to Herod, they went back to their own country another way. 

An exception to obedience to government.

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