Rouge is a freelancer. She's not a GUN Agent, so much as she has contracts WITH GUN as long as GUN pays her in jewels. Even in Sonic Adventure 2 she didn't answer to GUN, she answered to the President. Most likely the reason she chooses to raid a GUN base instead of actually communicating with GUN is either because she doesn't want to bother with the paperwork, or she just thinks it's more exciting to do it this way instead of officially. After all, these Sonic characters are friggin adrenaline junkies, let's be honest here.
