I believe MI5 is right - Sony used the word "illegal" incorrectly.
As I understand it (and I don't pretend to be a lawyer or ex-spurt)...
Basically, you don't own a sony phone - you own an O2 phone. Sony manufactured the phone for O2 under contract - beyond that, sony have no more connection with you than Mercedes do with the passengers of a bus they built for Stagecoach. We buy our O2 phones and pay less than we would for a "vanilla" sony phone because - apart from calls costs etc - O2 get paid for installing and "locking-in" certain apps (commonly referred to as "bloatware"). If someone removes those apps, they are potentially depriving O2 of income or leaving them open to legal problems with the owners of those apps - so O2's contract with sony will have specified that sony can not remove that bootloader and effectively turn an O2 phone into a sony phone. O2 can remove/change the bootloader once they are outside of whatever contracted period they have with the "built-in" apps' providers.
There are some legal issues relating to mobile devices - relating to FFC regs and the use of certain frequencies in different parts of the world - but I can't see them being involved here. (For example - wifi devices in the UK use 13 "channels" - in other countries, there are only 11 "channels" and broadcasting on the other two - which are actually just different frequencies - is potentially illegal as it involves unlicenced broadcasting on those frequencies)
(As a thought - I can see an opening for providers such as O2 to offer discounts, gifts or favourable terms for people who take their non-O2 phones in and have an O2 bootloader installed - kind of like renting out the side of your house for advertising space. Not everyone's cup of tea but then not everyone is bothered about "bloatware" and a few quid saved or a "free" pair of headphones is better than nothing :))
