No. Unlike K++ or K-Lite, the application itself isn't illegal. In fact, Shareaza hasn't even been looked at as yet by the authorities. Their concentration was on Kazaa at the time, who knows who they're going to attack next =P

The application is fine, it's how you use the application that determines if your 'activities' are illegal or not. You can use it to download fansubbed and unlicensed anime just like everyone does for BitTorrent. Or you could possibly use it for other means, such as downloading licensed anime, but i wouldn't really advice that unless you're willing to delete it within 24hrs of downloading it. Otherwise, nobody would buy the anime eh? =P

But that's up to you.
I generally use it for faster downloads on my torrents, and porn lmao XP