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.
Well, there is no official source about it. I mean Horikoshi (mangaka) never said it is canon however since he gave ok to the creation of this spin-off and if you consider cameos in it from original BnHA, you can say it's canon.