But since HG have said that in their MTV, so why didn't Police arrest them...
It's not a crime, but rather a misdemeanor, so you don't get arrested for such things automatically.
Police can sue to a court, if they feel offended (just as anyone can sue you if you call him nasty things in public, maybe even in private, not sure), but it's hard to prove you meant something evil (you cannot technically f*ck the police, only a specific policeman/policewoman), so it goes with the constitutional law of freedom of speech (you simply expressed an opinion, those words had the meaning "I hate police, they are evil bastards and should suffer").
It's easier to get convicted for a jail (or rather a fine to pay) if you call someone "murderer", "thief", "traitor" etc., but then again it should be directed to a specific person, not an institution. So saying "police killed Bambi" is much safer than saying "Police officer, sergeant Smith killed Bambi", because in that case the Mr. Smith would feel offended and if you don't have a proof he did it (or at least that he might have killed the poor Bambi).
Special protection against verbal offence is reserved in Poland for the President of the Republic, but not the Police.