Al Capone was transferred to Alcatraz from an Atlanta prison, where he paid off guards and continued to run the mob from his cell (in addition to bringing in luxury furnishings). These details contributed to Capone’s celebrity, something that the warden wants to keep under control as much as he can. By doing so, he essentially dehumanizes Capone, turning him into just another prisoner. Moose is willing to accept the warden’s intimidation, but his loyalty to Natalie means he won’t put up with any insults (even accidental) to his sister.