It's quite a mystery while they can teleport themselves anytime
how can they get caught even getting executed,really ridiculous dont you think ?

they don't think they'll die.

They're not that capable of teleporting just anytime, anywhere. Some need apparatus to teleport; and even the ones who don't, need time and focus (and hands free, and no kryptoniteH^H^H^H^H^H^H^H^H^H^dimeritium around their necks).

Those who make it their duty to imprison or punish sorcerers know how they may be enticed and effectively restrained. (Those who don't know, but try anyway, tend to end up as John Does in the morgue.) That, too. Their arrogance puts kings to shame.

Oh, magic, in general, full of absurdities because it's hard for the creator of the magical system to follow his/her own rules...

1) Sorcerers/-esses can read thoughts but by some reason they sometimes "don't know" what people think even if they really need it.
2) They could have teleported the whole army to the other side of the fog (ala TW1, where Triss teleported an army into the caves)
3) Triss doesn't teleport Geralt with her when they go to check clues but she can do it... well, I guess, she's keeping him in shape that way :D

*********SPOILERS**************

4) Deathmold could teleport not only himself but also Henselt out of trouble.

*****mild book spoilers*******

If you read the books, you'll find out that in one of the short stories Yennifer were turning scores of people into animals, at the same time she "forgot" that trick later on other occasion where it would be very handy.

Correct me if im wrong but if you teleport without some kind of device and with close to no preparation the caster would most likely die. Only the best ones can open a portal without a device and then its dangerous and it take alot of preparing and concentration. Its not something you open while fighting or running if i put it like that.

----Spoilers----

Well I can only imagine they have some limit (maybe something like mana? vigor?) to their abilities and they probably need some intense concentration. Triss nearly passed out after casting the butterfly shield. I don't know about the books but from in-game I only see the sorcerers/sorceresses doing relatively short-distance teleportations almost at will while the longer-distance ones needed specific apparatus which is prone to acts of sabotage. Plus there are places where anti-magic charm is placed or where magic just plain doesn't work due to disruptive auras.

Plus some witchers are trained to fight magic casters like what happened to Triss in Act 1.