if it's not licensed in the states, it's still illegal, not really a grey area.
it's just that if it isn't licensed in the states it's a pain in the butt for the japanese companies to enforce/prosecute. if it's licensed for a north american release, the north american company that licensed won't hesitate to sick the lawyers on you.
that's talking about bootleg dvds and the such. fansubs are a different matter, the companies let(turn a blind eye) fansub groups survive and continue because it helps build a fan base and increases chances of licensing, which equals $$$ for them. but after the series gets licensed, then subbing and distro needs to stop.