It’s not illegal because it is end to end encrypted when you send messages, but it’s not encrypted on your phone and they have access to that, not to mention, I imagine they have access to the keys used to encrypt the messages, so even if they backed it up encrypted they can still read the messages.
The point of implementing it is not to protect people from surveillance, but rather to make people think they’re protected so they’ll keep using the platform rather than moving to another service. Their actual claims about it amount to “If your on public Wi-Fi or something, people skimming that won’t be able to see your messages” which is absurd because they already couldn’t.
Admittedly, no law enforcement that they refuse to cooperate with will have access to the messages, but like, “law enforcement groups Facebook doesn’t cooperate with” is a very small list.