Not necessarily.
Buildings don't violate laws because laws are written for people. People violate laws.
If you violate the local building laws and build an improvement which is a legal, permitted use the result is not an illegal use. And it's not necesarily an illegal improvement.
I've tried to pin down planning and building department officials including building inspectors. I'll say that a room addition was added to a residence on Main Street but there is no permit on file. Is the room addition illegal? Their answer is invariably "What makes you think it's illegal? They just need to get a permit if someone complains."
I agree. Additionally, even the gov. loses things. It may have been permitted in a very informal way many years ago. As appraisers, we should NOT call something illegal unless we have hard evidence that it is. That absence of a document will not convict anyone of anything. I would check legal, non-conforming and then explain. Maybe use an asterick instead of a check mark or X.