Legal to use non FCC-approved radio devices purchased locally?
If you buy from a foreign seller then YOU are the importer, and so are responsible for any required certifications. 

If you buy non approved product locally then you may be prosecuted for operation of an unlicesensed radio transmitter, in reality the usual result will be the man telling you to cease and desist from operating that equipment together with fines for the company that did the importing (But keep it up and the fines will start getting serious quickly). 

And yea, HAM radio license holders have some strange and unique permissions, things like being allowed to build or modify transmitting sets and operate them without needing to get them certified. No other group of civilian radio users has that right.