No, it is not illegal to convert a player to multi-region. The Philips only lets you change the region 25 times and then you are stuck with the last region you picked.
But, it is certainly not against the law to use your remote control to change the DVD region, and don`t let anyone tell you otherwise.
However, knowingly selling a player where the Macrovision can be disabled,is, technically, illegal, but that`s a whole different ballgame...