Some people have claimed that crypto privacy coins are illegal because they are used to execute secret transactions. That is why they asserted that this type of cryptocurrencies are illegal and they shouldn't hold.
I think that these windows have an advantage among others, so they have already provided themselves with a reason for the increase in price. However, I don't think it's illegal because cryptocurrency is not regulated almost anywhere, so it's impossible to recognize these tokens as illegal.
It depends on your country's laws. A lot of governments are suspicious of privacy coins, so many exchanges are taking down privacy coins from their list