Karen doesn't have a problem with the shady way that Henry brings home the bacon. She can look past it. What she can't look past, literally, is the big hair that symbolizes membership in the Mob Wives Club.
"They had bad skin and wore too much makeup," Karen says in horror as she looks around the room at Mickey's hostess party. "I mean, they didn't look very good. They look beat up, and the stuff they wore was thrown together and cheap: a lot of pantsuits and double knits." As the camera pans around the room, we see what Karen sees: tacky clothes, massive coifs, and horrible eye shadow on everybody.
The mob wives all look the same, and that wholly unflattering look symbolizes their status: as wives, as mothers, as vital supporting players in the family. While the sartorial symbolism initially makes Karen want to barf in her handbag, over the course of the movie, her clothes get gaudier, and her hair gets bigger. The more entrenched in the family she gets, the more she becomes part of their glitzy, blue goop facial-getting gang.