It's not exactly black-and-white... It's also illegal to do it for free, yes. But if you're not making money from it, it isn't pursued, because in terms of damages - the guy who's giving it away for free can't be sued because he isn't making money from it, and Konami (who you COULD argue are making money from it) aren't advertising that people are doing this and they aren't promoting that their game can feature unlicensed teams in all their glory.
However, as soon as those modders start charging, you can say "you're featuring our property and making money from it, you don't have a license to do that, so you owe us money".
(This is what two guys I know in the legal profession have told me - PES comes up in the office every now and then...)
The product they're selling is advertised as "PES option file", not just "memory stick", so that wouldn't stand up. I've read that they're also selling a single file that you get emailed to you every time that it's updated, too, so in that instance, they're definitely selling a "product" without license.
Again, though, I don't think it's fair that they work for nothing, and I hope the football associations, kit manufacturers, EA etc. decide that any sort of action would make them look bad in the eyes of the public.
Because FIFA makes more money and licenses cost more money now (both of which earn the FAs etc. more money), and because it's easier to transfer the files now (meaning more potential for lost FIFA sales). That's a two-pronged risk, from the FAs saying "you made money from things we own, you owe us money for our licenses", and from EA saying "we buy exclusive licenses so people have to buy our product and you're bypassing that, you owe us money in lost sales".
But in reality, I'd imagine it won't impact on FIFA's sales, they'd struggle to prove it, and there's every chance they'll ignore it. I hope they do, and the FAs etc. too.