My concern would not be if removing the air bag is illegal as it's my choice, my problem. I'd be more worried about having my policy dropped if a collision would take place. Even more so, if the party in the other vehicle is severely injured or killed. This would leave you on the hook with no coverage in case you were sued for damages, pain and suffering or whatever. Better call your insurance company and find out what the deal is. If they say it's not a problem, make sure to get it in writing.