Recently I found about My Hero Academia: Illegals. Is this manga supposed to be canon? Do events from it count for the main My Hero Academia storyline or something from it already appeared in the anime?
It is canon, according to MHA's English Translator.
Since a lot of people probably aren't familiar, this is a spinoff series to My Hero Academia. It takes place 4+ years before the events of MHA (they say Izuku is in elementary school), and features cameos by Eraser Head, Midnight, Tsukauchi, Ingenium, etc.
It's all canon.