The short answer is yes, the impact of sanctions (and other export controls) on the market prices of goods can create an arbitrage opportunity for someone willing to violate or circumvent those sanctions or controls. However, the legal framework around those sanctions and controls allows fines and penalties--up to and including prison--for anyone who improperly exports or improperly allows the export of a controlled item. Anyone looking to profit from the arbitrage opportunity must weigh the risk of those penalties against their potential profits.
I am not a lawyer, but I have done export compliance work for a company in the United States, and discussed our compliance obligations with experts from the US Department of Commerce, which administers export regulations for most commodity goods. I'm not familiar with other countries' export regulations, but I imagine they are similar in broad strokes.
Even aside from high profile sanctions such as have been imposed on Russia in response to their invasion of Ukraine, anyone who exports anything from the US is required to:
- Know what export controls, if any, apply to the item to be exported
- Know whether those export controls or any blanket controls are in effect for the destination country
- Keep records of business inquiries and transactions involving controlled items or entities
- Perform due diligence to confirm the identity of the end recipient (individual or organization) as opposed to the recipient of the initial export shipment
- Check the end recipient against the list of entities who are subject to export controls (which is separate from the list of countries subject to export controls)
- Obtain the required export license(s) before exporting any controlled item.
All of the above applies to both arms and commodity items, although arms fall under a different set of regulations and are handled by the Department of State. Failure to comply with these requirements, regardless of whether or not the exporter was aware of them, can incur stiff fines and even prison time.
Of course none of this makes it impossible to export a controlled item improperly, but it provides a legal framework to enforce export compliance along more of the supply chain between the manufacturer of an item and the person who wants it but isn't allowed to receive it. By making the seller of an item responsible for where it ends up (in a limited way, anyway), it incentivizes exporters to be on the lookout for straw buyers, and the requirement to keep records of their transaction allows authorities to investigate potential external violations of controls. It's quite common for those who sell controlled items--even domestically--to require their customers to attest that the item(s) will not be exported or re-exported as a condition of sale. Of course it's very easy to falsely attest that something will not be exported and then do it anyway, but it provides some legal cover for the seller by demonstrating due diligence and may allow them legal recourse against the customer who does so.
Some manufacturers go even farther, for example many precision machine tools must be reactivated by the manufacturer any time they are moved. There are some technical reasons for this, but it also makes it much harder to export and use those machines without the manufacturer's knowledge.
On the other side of the economic equation, these sorts of controls should, ideally, not be so onerous as to overly impede legitimate business. There is room to question the net benefit of any given export control regime in that light, but that's a more complicated question. There is also room to debate whether a given enforcement regime is adequate to outweigh the potential profit (through arbitrage or other means) of violating those controls to sufficiently discourage violations, which on the surface may be a simpler question, but ties back into the first of how that enforcement impacts legitimate business. That's a hard balance to strike and enforcement is never perfect anyway, so there will almost always be someone willing to take a risk if the potential reward is big enough.
Fundamentally, none of this is unique to sanctions or other export controls. Any legal restriction on the availability of an item can create an incentive--via increased prices--to sell that item in violation of those restrictions. The question of how a society keeps people from breaking rules even if the rules themselves create something of a profit motive to break them--in other words, how legal penalties are balanced against potential illicit gains--is pretty foundational to any legal system.