I know that some, if not the majority of scanners sold over in Europe don't contain the diodes that block out certain freqs that the FCC makes the manufacture block in the US.
Regarding the legalities in the US, I was always under the impression that it is/used to be like this below.
From a RS manual.
"According to the Electronic Communications Privacy Act (EC-
PA), you are subject to fines and possible imprisonment for in-
tentionally listening to, using, or divulging the contents of such
a transmission unless you have the consent of a party to the
communication (unless such activity is otherwise illegal). "