I haven't looked it up but if they haven't got copyright licenses then indeed it's breaking the law the world over, in the possible scenario where they do have those licenses (much of the non-free software we're talking about is probably redistributable by everyone? I've no idea) but don't have patent licenses, then they can probably get away with distribution in the EU, and will be lucky if they aren't brought down in the US in any of these cases.
If they have all the licenses - I'll be surprised and impressed.
I used to think it was smart for Ubuntu to officially produce an EU version that included the actually free software that is required to play mp3s and other stuff, but that violates US patent laws. I'm sure that it would be popular in the US too, but I dunno if Canonical would be liable if downloaders agree that they are European.