To answer my question for The Netherlands, it is my impression that cops are held to a higher standard and are punished equally—if not more harshly—than normal citizens when caught.
I have recently heard about a case in Poland where a police officer was punished for not being professional. Something like a Ukrainian made a negative comment about "Polish police" when stopped for speeding or leaving his car or something and the officer responded with something like, "if you don't like it here, then get the fuck out to your country" and that got him some kind of punishment. I guess this would be unthinkable in the US.