I'm not sure they are illegal as they are DOT approved and do have some level of wet traction (hence why they put in the "rain" grooves)? If you were running slicks than yes, those are definitely illegal.
Regardless, R-compounds are expensive and less puncture resistant than your typical tire. I am constantly picking large rocks out of the soft rubber of the tires.
Also, R-compounds are stickier and will fling up more road debris which will cause damage to your paint in the wheel area. I haven't noticed that much with mine but I only use R-compounds for autocrossing.
Sammy