First, for a brief description of the legal terms of licensing, look at ANBU's legal terms here. Now I will give my description. When a series is "licensed" it usually means that a company in the United States has obtained legal rights of all distribution and affiliation towards that series in the US. They control everything of that series, including the copyright. When a fansubbing group decides to do a release of a "licensed" series, they are breaking the copyright that the US company has legally obtained, thus breaking the law. That is why ANBU (as they describe in their legal terms) stop their releases of the series to avoide any kind of legal confrontation. That is the United States side of the story.

In Japan, series such as Naruto are licensed by Japanese companies such as Studio Pierrot (the company that does Naruto). They own all distribution and affiliation of the series in Japan. However, technically when fansub groups release these "unlicensed" (not licensed in the US) series, they are breaking an international copyright law (thus it being illegal). However, many (not all, check this page for example) encourage these fansubs as it is basically a free "test" for the series, giving them an initiative to allow a licensing if they think the series will be popular in the Americas due to internet buzz. Thats one of the main reasons why the whole fansubbing world exists today.

I hope this answered the questions you had.