Miners can elect to not include certain transactions. I'm not aware of any evidence that this is happening now except with low/no-fee transactions, but the centralization of hash power makes it possible and, I would contend, inevitable, given sufficient time and adoption.
We already see this with the banking institutions that grow like barnacles on the side of the blockchain - they track where their customers spend coins, and blacklist the customer if they go to e.g. DNMs. If bitcoin gained wide enough adoption that people could cut out these middle men, the government would have much more incentive to inject itself into the mining process. There is already ample evidence they are doing various things on-chain to track the spending of large/active users, see e.g. https://reddit.com/r/DarkNetMarkets/comments/4fov8h/i_regula...
Edit: FWIW, Bitpay is one of these institutions. Steam doens't accept bitcoin, they accept fiat paid by Bitpay on behalf of someone with bitcoin.
Sure, there certainly is a risk of centralization in Bitcoin. At the moment Chinese miners probably are in a position to collude and censor transactions they don't like. However they can't steal assets, so they have a limited incentive to do so. Users only need to find one miner that includes a transaction in order to make a payment, albeit a slow one.
That doesn't mean it won't become illegal for miners to authorize a transaction.
From a certain legal standpoint (IANAL) the miner is facilitating all of the transactions which he creates a block for. This might make him liable if any of those transactions involve blackmail / extortion / money laundering.
