Is it illegal? Considering they are spying to simply protect their rights and prevent unauthorised modifications and installations to their system. I'm all for the, "I purchased the device so I can do what I want for it" argument. Thats awesome for indie developers (who can't afford the expensive dev kits and licenses) and home-brew enthusiasts. But when its being used to steal illegal games, then no. I don't think its a problem to "spy".
There is one interesting thing to remember about what Nintendo does.
Do you remember the Wii Mini fiasco on Club Nintendo last year? All the games people were able to get for free thanks to that, and yet there have been 0 cases of Nintendo banning users of those illegally acquired games. Several members were able to ask Nintendo, and were assured there will be no action taken against the illegally acquired download codes.
But that's not all. Several people have been the victim of console bans due to illegally acquired games. According to cases on Gamefaqs, these are games bought with a stolen credit card. The reason why Nintendo would ban these owners of illegally acquired download codes is because it involves a credit card company and the owner of said card who reported fraudulent transactions. As such, Nintendo was required to take action in pursuit of the thief of said card, which may just be a common practice of stolen credit cards that all parties involved must do their part.
In the case of these cia's, they weren't acquired through stolen credit cards, or some bloke who got robbed, but rather just appeared on someone's system out of the blue. Now, I'm uncertain of the level of details Nintendo can dig into in regards to someone's eshop account activity, so it remains to be seen if Nintendo will take action against cia players, but there's something to consider out of all this: what's to stop someone from system transferring to every known system with a pre-installed game, and having all those titles suddenly appear on their account? I'm sure Nintendo can't take action because the possibility exists, no matter how ridiculous, and if there are no reports of the consoles being stolen, there will be no action to take.
Time will tell of course, if Nintendo will do a crackdown. I for one am uncertain, and will just take each day as it is