Cheat engine is not illegal.
You are aloud to hack with it depending on what the owner of the game has to say about it, usually if its just a game like age of war where it doesn't get updated should be okay, where as a game like DragonFable it is completely banned.
But it all depends on the makers of the game you hack and your countrys laws.
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Some are, some are not.
Most hacks/mods to computer games which you have already purchased are legal. Note that some may contain viruses which are illegal.