Illegal Immigration, as it exists in your world, only makes sense in a case of population diffusion. That is, a location banning new immigrants on the grounds that there’s just too many in a single location. However, as I understand it, the most populated places in your world have no such limitation.

It seems to be a matter of nationalism; a country wanting- and forcing, its citizens to be part of an inescapable collective whole. Done to the detriment of those who are considered “different”.

Of course, Equestria had closed its borders to the griffon nation; making immigration illegal. But this was done to protect itself until the country became stable again; it was never intended to be permanent.

And! The upcoming Equestria Games holds the important distinction of lifting that ban and opening its borders once more to griffon immigrants or visitors!