It was meant to show Beverly Hulls as a safe place full of rich people and a police force that doesn't have experience dealing with real crime, while simultaneously depicting Foley as a street smart cop.
Also, you have to consider the era this was filmed in. In the early 80s, drug smuggling techniques weren't commonly known by the viewing audience, so this was also a "learning experience" for the viewers as well.

Ok, so it's not LA. But cocaine use was at an all time high among the rich and famous in the 80s. It certainly made its way to Beverly Hills.

I mean, he's working in LA, not some town in Idaho
Beverly Hills is not LA, it's an independet town situated between LA and West Hollywood. Maybe there is (or was in the 60s, 70s and early 80s) much less serious crime than in LA because the population was much wealthier and there just wasn't much need to make a living by crime.
Or maybe they just did it that way to show that Axel is more "street smart" than Taggart and Bogomil.