Well, the Emperor is a god, so he can do whatever he wants. He's the one who makes all the laws in the first place.

Magic and religions are illegal because it's heresy to think or act in a way that undermines the Emperor or his authority. Just speaking the idea that us common folk could somehow harness any of his power, rise beyond our station, or owe our existence to anything other than his mercy will get you sent straight to the gulag at best.