The legality of the SIM-Lock removing procedure depends on the law of the country. Some countries don't have a strict law that directly forbids this act. It could be declared as “An invasion into informative technologies”. But from another side, the person that bought the phone is allowed to do with it everything. For example: if you have a TV that supports only one standard of the incoming signal. Nobody can take you to the court if you will install a multi system receiver on it. You can modify it in the way you like. The only thing you will lose is warranty cover. It could be explained in different way, depends on the lawyer.
It gets a different sense when it comes to the illegal export of the mobile devices. They could come legally only from the manufacturers or the official distributors.
Off course GSM service providers are loosing the profits, when the handsets, sold by the 10% of the original price, are crossing the networks.