Meaning of "at least Dick Turpin wore a mask"
Dick Turpin was a famous thief. What they mean by at least Dick Turpin wore a mask is that at least Dick Turpin attempted to conceal his identity when committing robbery/burglary.
The implication is that someone is trying to rob (or burgle) someone else flagrantly.
He's implying that like famous highwayman Dick Turpin (wikipedia) you are trying to rob him (rip him off, if you like).
He hopefully doesn't mean it too seriously though, but doesn't want to bargain.