Illegal, meaning There's laws against it, like being gay in many countries. Not morally wrong, although there is a lot of that.
Yes, but using Tor actually can have negative effects, such as buying illegal things, like drugs, and other things that you would want to be anonymous while buying...
Or like doing drugs, in other countries. If you make a system where you can be gay because the law can't touch it, you can also do drugs because the law can't touch it.