Other than VAT (pay it, make sure you have a receipt from the shop/your bank in case they decide to make up a value) I can not recall a single instance of an individual in the UK (or indeed anywhere else in Europe, in America or in Australia) having something in the flash cart/mod chip world stopped. I would say some shops have but I am going to struggle to provide an example there too -- most of the things you see are customs raids after the fact and even there go see which of those are not basically charged purely for also doing paid piracy ("we will install mod chips and burn a bunch of discs for you"). Basically do not order a palette of the things.
They get a bit iffy for some of the radio stuff (unlicensed transmitters which technically can include low level things like FM rebroadcasters, signal blockers and the like), sometimes for lasers, often enough for weapons (several people have had throwing knives and ninja stars as well as generally illegal knives taken), some say lockpicks but I have not seen that in years (granted most cheap stuff on dealextreme I would not trust to pick a slide bolt you were on the same side as), you can probably run foul of some trademark law somewhere (the most recent one I
saw was Australia but I do not pay attention to this field), safety law (things needing CE marks and whatever else) and on the continent there are some other things (France really dislikes a lot of speed camera detection and notification type devices, I am not sure if they still do but there were a few cases of boy racers doing a booze cruise and getting pinged for having such gear in their cars).
I mention most of that mainly because we did occasionally see people discover dealextreme and all they might have and have it all shipped at once, DX have not done flash carts for years but there are still places that do things like DX do and several flash cart shops also have interesting things.