Let's clarify a few things here:
It's nitpicking but using the term "illegal" doesn't make sense. It's not like you're going to go to jail for using third party programs.
The macro system in FFXIV is iffy at best.
It's unreliable depending on your connection. You almost never use it in high-end raids because depending on what the server feels like, your macro will be flubbed. I've counted numerous times where I failed to do an instant resurrection because the macro missed a step and either I didn't actually cast Raise or Swiftcast didn't actually go off.
You can't have macros chain into other macros, so at best, you're only playing a section of a song
If you chain actions together without a wait, the system will replay the macro as fast as it can. You can insert wait actions but the smallest precision this is is 1 second despite the macro system accepting decimal numbers. And while I haven't added music keys to a macro, I'm also certain the macro system doesn't give any special preference to how to play it back.
The whole thing with a third party macroing system is if it gives you an unfair advantage. I can't think of a situation in FFXIV, aside from crafting, where using a third party macro would give you a better advantage except in crafting, if only because you don't have to use multiple macros to do a recipe (and even then, there's a lot of things you still need to react to). A lot of higher level play is reacting to situations and popping procs.
There's already a large community of higher level players that technically are breaking the TOS anyway by parsing. Parsing is technically a bannable offense, but officially it's been mostly a "don't ask, don't tell" policy. The GMs don't care if you parse unless you're doing it to harass other players. And parsing is a vital tool in higher-end raids because you need to make sure your team's DPS is up to snuff.
I mean, I don't see a problem using a third party macro tool to play music. What, does that make the other players who play it manually more butthurt or something?