HBO Go (in the US anyway) doesn't have "paid subscribers." Comcast customers who have subscribe to HBO as part of their TV packages get access to HBO Go as an additional service. Comcast authenticates subscribers to tell HBO Go whether to allow users access to the service. But in this case, they aren't supporting their authentication on Roku devices.

It's legal in the sense that you are buying an inferior version of HBO from Comcast than you are from other providers. Comcast isn't blocking HBO Go. It's just not giving it to you. Unfortunately, the only way to get HBO Go is through your TV provider (unless they've changed it recently).