From what I can see, these devices are legal to own and use. It is the stolen programming that is illegal. If you use it to view content that is normally free, you aren't doing anything illegal. But if you are using it to view content that is normally a subscription based service, you are receiving stolen content. Thus the reason to use a VPN.
This is what Goooooogle has to say on the subject of "can using a superbox get you in trouble":
Yes, you can face serious legal, financial, and cybersecurity trouble for using a SuperBox to stream unauthorized content.Legal and Copyright RisksCopyright Infringement: While buying the physical hardware is legal, using it to stream copyrighted live television, pay-per-view events, and movies without paying for a license violates copyright laws.Internet Service Provider (ISP) Actions: Your internet provider can detect unusual or unauthorized data streams. They may flag your connection, send copyright infringement warnings, or shut down your internet service entirely.Target of Enforcement: While everyday individual viewers rarely go to jail, copyright holders and federal agencies focus major legal actions, fines, and criminal penalties on the operators, sellers, and distributors who profit from piracy.Cybersecurity and Network RisksMalware and Botnets: Security research shows that devices like SuperBox contain hidden network tools and remote access points that can expose your home network to malware. Your device can be hijacked into a botnet to launch cyberattacks without your knowledge.Data Theft: Unchecked third-party applications can compromise personal privacy, steal login credentials, or harvest sensitive data from your home network.Bandwidth Hijacking: These boxes often operate via peer-to-peer sharing networks, secretly using your upload bandwidth to distribute illegal content to other users. This can result in drastically slowed internet speeds and unexpectedly high data usage bills.