From the FAQs page:
Yes… It is Legal.
Many airline mileage programs restrict the sale or trade of frequent flyer miles. However, you should know that there is no federal or state law prohibiting you from selling or trading your frequent flyer miles, Utah state law being the exception. Therefore, provided that the necessary precautions are taken, the sale and transfer of your miles can be a safe and secure procedure.
Cash 4 Miles goes to great lengths to ensure that each transaction is discreet and secure. Our top priority is safeguarding your account. Our highly qualified representatives screen all of our prospective buyers before they purchase, and are exceedingly vigilant when contacting the airlines. You can be assured that your account is always protected.
This does not seem right. If it’s against airline policies, then presumably you agreed to their terms, and are breaking your contract with them. There is no federal or state law forcing the airlines to disallow sale of miles, but it should still be illegal if the terms of agreement are not followed.