Illegal power connection, how should I handle this situation?
Clearly you are concerned but it is not your job to fix everyone.  

So even if they have a house fire tonight it is not your fault.  

The best thing to do is to get someone with authority to take a look.  

Here in the US we feel safe enough to call police.  They are always concerned about safety.  

But here in the US nobody would ever do that, at least not in the cities.  

So wherever you are I'd bet you can figure out the best place to call.  

I would suggest the power company.   Or the fire department.

All you would have to do is ID yourself as a concerned neighbor and repeat over the phone what you have written here.