What is sarcasm? o.O
And to answer your question, no it's not illegal to buy games off jlist. If it was, they wouldn't send you the product when you input your address. lol
As far as going to japan and bringing it back goes, I doubt you'd get in trouble for that either, though I don't know individual countries policies. Hell, some guy got arrested for owning CP because he bought a game that had loli content in it. XD