Those sorts of games are heavily vetted. Eve alone hires several economists in addition to extremely rigorous software testing to ensure that the economy isn't subject to any abject arbitrage from players.

It does happen, and I would think (not a lawyer) that in most jurisdictions that it would not be illegal. That case where the guy found a pattern in a video slot machine comes to mind. You are legally entitled to play the game in an authorized manner. Penetrating the server and giving yourself the money wouldn't be the same as playing the game and earning it.

Also in Eve, the money doesn't correspond to money, it's time. You can buy time playing the game with the money. Maybe there are places to exchange one for another, but that's not really the point and would be out of scope for the developers, imo.