if you have the game in original form nothing says you cant have a copy of it, if you don't have the game in original form then that is where it gets into a gray area.
emulators are not illegal, its more the games that is the questionable matter, but it depends what the situation is.
its almost like those mod chips for consoles, the chip alone wasn't illegal to sell without the software on it. it was illegal when the software was sold with the chip or the site that sold you the chip provided a download link, with the software installed it was a different matter. that is why you had to hunt down the software yourself.
Newtendo is just like the mod chips, they provide no illegal downloads and is up to you to find rom's