I should point out that legality is really a matter of perspective. In the Sixth World, pretty much anything is illegal except when it isn't. Not that the restriction ratings and such can be ignored, but in the end it all depends on what you decide, as GM.
I think it helps your players to remind them of that in a direct way from time to time, lest they begin to "lawyer-up" on the rules and try to use them against you. If you want the police to hassle your players, they're going to find a reason to hassle them, and if they can't find one directly, they'll make something up. If your players believe that they shouldn't be hassled for having a completely legal item like a legal weapon complete with all the licenses they need, you might not running your game right. At my table, all of my players' characters have been in jail for one offense or another. They may not have done time in prison (yet), but jail is something they come to expect. This teaches them that the cops, while they're not friends, aren't really their enemies either, and doing some time in jail isn't the worst thing in the world. If they end up going to "county," big deal. They're out in a few months and they can reap their rewards later. In fact, it might even add to their street cred.
In my games, reputation/street cred can make the difference between a few hours in the pokey and a few months, or longer, in "county" or state penitentiary. The more known the runner is might mean the more notorious he is, and that's quite a feather in the cap of cops and prosecutors. Cops in my games are a lot of things, but they're not stupid, and chances are they know a runner when they see one, especially if they're magical or highly cybered. What they might do is let the runner stew for 12-24 hours in the pokey on a charge, real or imagined, and set them free in order to follow them and build up a case on them.