Does LEGO generally restrict the sale of LEGO sets in a country?
The LEGO Online Store states that it can deliver to:


  Your LEGO® order can be shipped direct to you or a friend/relative in select countries within Europe and even to North America and Asia/Pacific.


The list of shipping locations includes:

I guess they have their reasons for not including Israel in that list - presumably it's either because of excessive handling/customs fees or shipping reliability - I'm guessing that's more the issue rather than other sites being told they can't send LEGO (specifically) to Israel.

I found a guide for eBay sellers planning on shipping to Israel written by a user here which talks more about the customs issues.