Most proper performance parts for the streets do not alter emissions systems. If they have a DOT rating, they are not illegal, but may require you to present the certificate during emissions testing. In general, if the part negatively alters your tailpipe emissions, it often negatively alters efficiency and performance (forced induction aside).
I've never heard of cops ticketing for modified intakes. Honda's that are dumped, fart-canned, and sporting Boeing 747 wings are often a target for noise, light, or saftey violations, but I've never heard of anyone getting a ticket for a cone filter.
I worked in a shop with an emissions dyno. The operator couldn't tell a cone filter from an ice cream cone. Most vehicles never even had the hood opened. Cats must be present (physically) and CE lights must be OFF.