[pvaldes]

why are police keeping all this artwork?

Evidence locker. If the trial is in course the proofs are locked. There is a period of time between the painting stolen and when was found probably also.

And, I'm speculating, but as an old Caravaggio is really fragile, it could be easily distroyed when stolen. Even if returned to their owners is probably not valid to show again and is not fixable. The owner could prefer to avoid spend money on the storage of a ruined art as long as he/she can.