Are these devices legal?

[GoldDigger]

Those neon-light illuminated switches were around for decades! As for sponging power off of a lighting circuit (as did those neon-lit switches), that's what the X-10 switches do/did.

Neither had access to a hot lead in the box, so they sponged where they could. X-10 sometimes had issues sponging power from some types of loads!

It is particularly hard when you not only do not have a constant hot but also do not have access to a neutral. For that reason many controls sink current to the EGC.
Even then, as you indicate, a load which has a high minimum voltage drop when "off" (such as a rectifier power supply to solid state switching elements) will cause problems.