Because it's financially shady.
We don't comply with the tax code, which is illegal, so we pay under the table, which is also illegal.
But why don't they comply with the tax code? You're not actually addressing my argument.
If their core activity isn't in some way illegal, there's no reason for them to be underground (which limits revenue, erasing any gain from avoiding taxes).
Cake is legal. Selling cake, under certain amounts of cake sold, is legal. Over those amounts, selling cake is taxable (technically, it always taxable, but you can get away with not reporting it, and no one is going to bust you for selling the odd cake).
Cigarettes are legal. Under no circumstance that I am aware of is it legal to sell cigarettes without collecting the requisite taxes.
We do not know what legal status robot fights actually have. But it is possible to conjecture that there are tax rules, possibly related to gambling, that make it legal only when it occurs under oversight such that taxes and fees can be collected.
This is exactly analogous to underground sport fighting. It could a perfectly legal form of sport, so long as it occurs in designated areas, under designated oversight with designated taxes and fees.
Underground sports, for a number of reasons, doesn't want to pay those fees.