Hmm, now right around now I would think my law degree would help me...

No, it's not illegal - if games say that, it's usually because something in that particular game, something in the name etc. is already trademarked by someone else in another country, so in importing that particular item it would be infringing on intellectual property laws. The importing itself isn't illegal (so long as all due import taxes are paid).
With regards electronics, the technicality is in that if it has different power input / output, even if it is a nominal amount that makes no difference, it will not conform to other country's safety standards, and as such a company is within it's rights (technically) to not allow its import (although it again, isn't actually illegal, it would just invalidate it's warranty - although could render the company liable should a fire / explosion etc. occur as a result of the power difference).
That's why Sony did all this - on a technicality, nothing more.
You're right - it depends on what the company decide, but it's not illegal. I just hate big companies being like this - I just hope they're happy that they are personally preventing lots of kids being happy this Christmas.