Anything popular can be found in counterfeit form in one place, another, or many. this is especially true in the international internet "marketplace". Crooks can set up operation, rake in piles of money in a very short time, then shut down and disappear into the woodwork long before authorities can track them down for arrest and prosecution.
Sooooo i'd advise caution when shopping for trademarked, licensed or copyright protected items of any sort. if it looks too good to be true, it probably is.
i think (but am not positive) there are brands of embroidery machines on the market that will work with a variety of file formats. so, i think it's possible to buy legal embroidery files in the brother format that can be used on a machine not manufactured by brother. (each machine owner/buyer will need to check that as it applies to the machine they own or are considering.)
i'm not a lawyer, so am not up to speed on this. however, my amateur understanding of things is that Brother has exclusive license to produce and sell embroidery files based on Disney characters, etc.
so, i assume this issue boils down to whether or not the source from which a person is considering a purchase of Disney embroidery files has acquired those files legally themselves.
again, caution and care are essential.