Vampires? They've got a ton of guards and are probably nobles so you're looking at a real quick execution. Especially since their resting place is likely a stone coffin in a stone basement. It'll be dark by the time they emerge from a burning wreckage or definitely by the time the rubble is cleared away. Then they slaughter witnesses and appear a few days later from "out of town" and ask who torched their house.
Thieves guild? Likely own some politicians and have bolt holes in a dozen rooms to get out. Then every underworld person in the city has a fat bounty on your head.
But the big reason arson in a city is bad is that when you have a dense city of wooden buildings so crammed together, arson can quickly become a mass murder. The king probably isn't going to thank you for killing that vampire lord if you killed 400 people in the process.