Well that would really depend on what country you reside in. In the US hell yes it is. That software is copy protected and right are only given to nintendo products. It is protected by the DMCA laws. But it's really only illegal when you get caught though.
But be careful patching in updates some may contain firmware updates. (At least that's what I am being told)
I'll ask one question in regards to legality. Have you ever torrent downloaded wii games? If so you have broken those same laws as using the NUS downloader. So if you are ok with torrent dl of pirated media or software then disregard the law once more and dl some updates from NUS.