You can play Cold Steel 1&2 as your first if you want a more modern introduction to the world and like the persona style school setting stuff, but CS3 is when the stories of all the previous games start merging together, so it’s very highly recommended to have played Sky, Zero and Azure before that or you will miss a lot of it.
Also there is a 3D remake of the Sky trilogy coming, starting sometime next year with the first game. Though so far it seems to be Switch exclusive.
Emulation and emulators aren’t illegal. Yuzu for example got in trouble mostly for distributing tools for circumventing copy protection and dumping roms and not for the emulator itself.
But it doesn’t really matter as nobody has money to defend themselves against something like Nintendo. Here just even the threat of it was enough to get the Ryujinx devs to fold just in case.