Theres always the ability to deny you knew what was mailed to you.
Even intercepting fairly large amounts of steroids, the authorities just seize and carry on.
Its somewhat more rare for them to go after guys with little criminal record in drugs or anything of that nature.
You find most of the "steroid importers" that get busted are also brining in painkillers, benzos, party drugs like X and the like.
The authorities are going after steroids more than they used to, significantly more, but its still sort of common to "look the other way" when they catch you.
Hell most cops I know are juicing as well, same with soldiers.
Its a part of life for physical professions.