HDCP strippers and other encryption countermeasure devices are illegal to sell in the US because they are in violation of the Digital Millennium Copyright Act (DMCA), hence the HDfury is no longer distributed by any US retailers, as I remember it had been for many years before they were forced to shut down all US retailers. Small scale makers of such devices might feel they fall under the law's radar, for now, yet may similarly vaporize from the US market, at any moment, for the same reason.
I'm unaware of any laws against a consumer owning such a device, however, as long as they don't use it as a means to enable the copying of otherwise protected material, so buying one overseas or privately importing one from Asia and using it here in the US I guess is technically legal for a consumer to do, but I'm no lawyer. [I also ignore the legal advice of such devices' manufacturers and distributors because I don't think they have an unbiased and objective view, but feel free to provide such links if you feel it appropriate for others here, I however won't be examining them for the reason I've just stated.]
I thought this might of interest to some, so I pointed it out, that's all.
You are correct. There is no law against an individual consumer purchasing and using one of those devices, as long as they are not using it to copy copyrighted materials. Many stateside businesses no longer sell devices like the HD Fury for simple liability reasons, but there are no such concerns for vendors selling from overseas, nor is there an issue with an individual importing one for personal, copyright-abiding uses.
As long as you have one, and you're not making illegal copies with it, you're fine, no matter where you purchased it. So if you an individual (check) and want to use one to simply watch TV on your RPTV TV via component instead of HDMI (check), then there is no reason why you aren't perfectly well within your right to purchase one of the several devices (such as the HD Fury) to enable you to do this. Nothing "sketchy" about it, in this scenario.
Once you have one, you no longer need to worry about firmware updates for your various devices causing issues with respect to HD over component, as an added bonus. And future devices that are HDMI-only will be just as useful for you (as long as you can set the output to 1080i, or have a scaler/AVR-with-scaler to change it).