Just like for ripping DVDs, yes it is legal to do it personally. That's not what I was talking about, I'm talking about commercial jailbreak operations which are still illegal.
What makes them illegal? I imagine the only reason nobody does it is because there’s no market - anyone that wants their phone jailbroken probably doesn’t want to pay, or just doesn’t want to be without their phone for a week+. Plus, it’s not like a commercial operation like this is going to start making their own jailbreaks and then hoarding the exploits so that you can’t use your own PC to perform them - the jailbreak community would immediately hate such a company.
It's illegal because of the DMCA. It's not legal to sell tools that bypass copy protection.
You wouldn't need to send your phone or anything, you can do fully remote jailbreak from a web browser with the right exploits.
You'd be surprised how popular pay-to-jailbreak shops are/were in places where this isn't enforced. You go there and the guy jailbreak your phone in front of you then hands it back to you. There's absolutely a market
