MSR is not a lil' thingy which was used to write WHITE plastic or for FRAUD operations.
It was used on any hotels, big shops, medium shops, small shops for their discount system. etc etc etc
Dont be stupido friends. That thing is not ILLEGAL.
If u're affraid - put it to luggage and do not take with yourself inside.
Have travelled alot with it, and my friend had any probs when he visited in/out USA.
Good luck!