The Vigilants of Stendarr hunt down daedra, vampires, lycanthropes, and witches but as far as I know daedra worship is not illegal in the Empire. How can they justify hunting down daedra worshipers? A vigil asks for you to help him break into a house in Markarth simply because it is suspected that it is used for daedra worship.... surely breaking into this house is illegal. The vigils will also demand that you give them any daedric artifacts in your possession and then attack if you refuse.... this does not seem legal either.
Certainly the worship of daedra has been at least permitted in the empire, and it is even central to the religion of the dunmer and orcs and presumably they aren't harassing people at daedric shrines.
I don't think it has been stated that vampirism or lycanthropy are illegal either. Perhaps we can safely assume that they are illegal considering everyone attacks you at stage 4 in vanilla Skyrim and you get arrested for having been seen transform into a werewolf (even if you don't harm anyone). Perhaps the vigils can legally justify hunting vampires and lycanthropes but I have a hard time believing that they aren't breaking the law in how they go about daedra worship.
I had similar thoughts with the Mages Guild's ban on necromancy. Necromancy was a legal practice in the Empire and the guild still sent me to slaughter them in their caves. Then there's the Fighters Guild storming and massacring the Blackwood Company for taking some of their business.....
Now I want to form an order of warriors to hunt down the vigils of Stendarr and stop their criminal ways. Have I missed something?