I'm not too sure how well this question will be received - I'm not 100% sure whether it's against the rules of the forum or not.
Like you said - purchasing from either site is not illegal. The keys may have been acquired via illegal means (stolen credit cards, for example) or at the very least, potentially breach the EULA (of Window's licenses, for example).
Whether you get a bad key or not depends on the seller, not the site (it's just a marketplace afterall).
If keys were acquired via illegal means, there's a good chance the key will be blocked/blacklisted (or blocked/removed in future). I have heard of numerous 'success-stories' though, so there must be a decent success-rate initially - it's long-term I worry about.
Can't speak from experience though, never used either site.