Question: When Finn and Rose Tico were in the jail cell where they met the thief, why was the thief even there, if he could just easily escape with basically no effort?

Answer: 
From my interpretation, DJ seemed to be bored before he encountered Finn and crew. He had a very relaxed demeanor, indicating that he wasn't stressed out about where he was at all because, as we find out, he could leave at any time.

I think he was probably captured after breaking in somewhere, possibly stealing something, and was locked up and possibly awaiting further processing. He also quite possibly could have been waiting for particular events to happen (changing of guards, casino slowing down for the night, etc.) before making his escape, and finding Finn and Rose accelerated his plans.
DJ has a strange gait, way of talking, and general attitude, so what happens later throws this into question a bit, but I got the very distinct impression that he was thrown in there as a drunk and was sleeping off the alcohol. Finn and Rose being noisy woke him up, so he decided it was time to go.