This was part of a discusssion about following the dictum 'make things worse for your characters', specifically having them get caught while searching someone's room.
Just my take - no, it's not always a good idea to make things harder. If it stops the plot dead in its tracks, if it leads to a pointless roundabout subquest that changes nothing, if it makes the story duller rather than more exciting, then it's a mistake.
Twists should make things harder for your characters but in ways they can overcome while advancing the plot and their own characterisation. (whew!)
You know those legends and fairytales where someone's given a quest but on the way finds he can't accomplish it unless he first goes and gets the sword of Ladidah, but he can't get that until he gets the horse of Wateva, and for that he needs the bridle of Blaah? And you lose all interest in whether he ever gets back to rescuing the princess of Hawtt?
Maybe have them almost caught, to up the tension, but not actually. Protagonists need to win sometimes, or they look like losers.