However, piracy is illegal in most countries and has legal ramifications if you ever give a company reason to pursue you. So to put it simply, no, there's nothing specific about GM:S to 'get in trouble' with.

However, there's not much they can really do about it, as GM:S can be used entirely offline, it's not like they can ban you (unless you also have a legitimate YYG account, but that still wouldn't stop you from using the cracked copy.) If you have an online connection, there is always the chance of the program sending information back to Yoyogames and potentially revealing your IP and that you are using a cracked version. Aside from that, I don't think GM:S (a product which I personally own) is any different from your average program. Pirating software always has an inherent risk.