Well they will try to steal your pokemon if given the chance. That is definitely still their thing. I don't know if you ever played the game back home or anything, but the Rockets here are a different animal. Still up to no good, but more competent. Probably because of all the people from different universes here. Whatever brings us here doesn't seem too picky about who it pulls, so there's nothing to stop bad guys from getting dragged here. Hell, Bowser himself is here.