I don't agree at all with committing immoral acts in dreams, and since illegal actions are *usually* immoral, I wouldn't do that either.

Sure, you aren't hurting anyone else as it is just a dream, but you are hurting yourself. Not only can it make you numb to similar actions in the real world (much like watching tons of gory violent shows will numb you to it in real life), but the more you do something, no matter what it is, the more comfortable you will become with it. Not saying you will end up really killing people, in the real world, but generally your tolerance and/or your tendency to consider such things goes up.