An illegal choice has been detected. Please contact the site administrator is given on ajax form after programmaticly adding an item to a select list
Upon validation, the FAPI checks that the values given for any select/option/radios match what was originally available when the form was first built. This is a security check, and is built in to all form processing.

Changing the values of an existing select list with javascript means your form has been altered outside of Drupal's control (perhaps maliciously, the FAPI cannot know), and so the validation fails.

To stop the message appearing, you should use the AJAX framework to build you form, instead of manipulating it directly with jQuery.