I don't think it will illegal.
It depends on which country you are in. It is a case to case basis. 1 talked to one of the members here in bitcointalk.org and he says that Bitcoin is fine in his Southeast Asian Country but if they found out that you're Bitcoin came from winnings in gambling they will deactivate your soft wallet. They say it is part money laundering.
yeaj i have read some topics about this i just couldn't find where is it..but i am pretty sure that it was asia,the complain is about deactivating hes wallet just because he won from some gambling site.this means it's illegal..but some countries recognize bitcoin as betting materials you can play directly using your bitcoin