legally, as long as you would use a key or marker (license, whatever) that comes with your bought unit, everything is cool.
(this doesn't exist with consoles of course, so it is not legal in the slightest)
The problem lies with you using an unlicensed copy and enabling an infrastructure of individuals who have no intention whatsoever to pay anyway.
But in common sense land: you bought it, it's fine. For an individual consumer that is. And not as a common practice of yours.
I did it for Crisis Core on the PSP, because the whole UMD thing has never gotten my vote of confidence and the noise it makes annoyed me greatly. But that is also the only 'homebrew enabled' console / handheld I own.
I don't think pirating stuff on the PC with a purchase in a following sale is quite kosher though. I can understand it, but you would still give less money to the publisher (hopefully developer) than you would have been willing to. And therein lies the problem, since it takes out value (of the product) as it translates to income that would go to their continued efforts to make thing that appeal to you.
That said, I don't think piracy is wrong (capitalism IS piracy) and that people putting ethics in the relation are misguided and tools (being abused or to be abused).
But then I also don't like people telling me about all their pirated stuff when they should have supported the developing parties. Neither do I feel proud about it. (downloading movies, ebooks, and television shows is also piracy, should a mod see this as an admission of 'active game pirate'. it isn't.)
Or people saying how they got the humblebundles at one buck. Now that's really spitting in the face of ethics.