There's no law against drinking whilst pregnant either, that doesn't make it safe for the baby.

Hair dye chemicals can cross the placenta, mostly during the first tri. The effects may not be known but that doesn't make it okay. I avoided dying my hair during IVF and pregnancy because my vanity could take the hit. If you're thinking about it, perhaps do some research into it - I recommend The Natural Way to Better Pregnancy by Francesa Naisch.

There are some more natural dyes on the market as well, I think probably at healthfood stores.