When thinking about cyber security I like to be up to date with all the latest threats out there. So of course you would like to get the information first hand to see where the threats are coming from (Cybercrime Forums) Anyway is it illegal to engage with these users on forums to fine out more information of the threat?
Even if off-topic: It really depends on what country are you in. Even if it illegal or not you should protect your personal data and the metadata that can be leaked over such forums in order to not be related by several services with illegal action types.
Please: Tor + Use only fake info + Use public IP's (bars/cafes) + adapt to the situation.