It's only illegal for them, and only if they catch you or they intentionally act in bad faith (ie. they ship it to someone who they know will then ship it outside of the licensed area). If you don't get caught, it ain't illegal.
Also in many cases when you buy a R2 even though they say 'not for sale outside of Japan' the original creator doesn't seem to enforce it or care, I mean they are distributing them to places like CDJAPAN which then knowingly ship outside of Japan. An original creator can break its own rules if it so chooses, without reprecussions (baring any contracts with third parties that give out exclusive rights or such).
Whereas a licensor draws its power not by being the creator of the show and owning the rights, but by owning a license or an agreement with the creator that gives them certain rights with certain restrictions, ie. the restriction to distribute and sell the property only in the US and Canada. They can't break the rules without risk since they don't really own the property to begin with. A good license will spell out what happens if the licensor breaks the rules or takes actions in bad faith (ie. willfully takes actions that could reasonably lead to the violation of the license terms and conditions.)
Here is the text from their website:
Question: I live in Lower Slobovia. Can I preorder Yawara?
Answer: No, sorry. Our license only allows us to ship to addresses in the United States, Canada, and their respective territories and possessions. We can, btw, ship to military addresses like APO's and FPO's (basically, if you've got a US zipcode or Canadian postcode, you're OK).