Like it was said before, BIOs is a program that interacts with the hardware and provides a layer for the hardware to interact with the game respectively.
The reason why BIOS files are illegal to distribute is the simple fact that the BIOs is a program that was made by someone. Therefore, the copyright holder is that someone (whether it's Sony, Nintendo, Microsoft etc.)
Emulator authors won't add full BIOS emulation into emulators because it would be illegal since their emulator would hold copyrighted material. Instead, they shift the legal responsibility to the user (as it is with rom images and CD images).