They are breaking the law by sending you a check, and the company sending the check is breaking the law too. It's hard for them to do, shit happens. I remember before Black Friday I got multiple checks from Poker Stars
which they then told me to destroy and they'd send me a new one since that payment processor had been shut down already in the time it took the check to be mailed to me.
Obviously US sites try to make payments quickly and seamlessly so that the players don't think about it. You aren't breaking the law by playing, but they are breaking many laws by letting you deposit and withdraw.