Not everything seems to update properly when systems flip from one type to another. One example we've seen is that goods prohibited by the deposed faction still show as illicit when you start the jump sequence even though the new controlling faction accepts them (and they don't show as illicit when you arrive in the system.) One of our systems still shows tobacco as illicit on the HUD when you are about to jump there, even though it's been under our control for several months. We've also seen nearby systems taken over by Federal Democracy factions that continue to sell fed-prohibited goods, including Imperial (and regular) Slaves, narcotics, etc.
I too see the "illicit cargo" message all the time when jumping into systems which changed hands.
Fun fact: if you play with the API you see system allegiance in the data. From what I could see, this never changes and reflects the original allegiance set at the beginning. This might be related...