well... i guess it depends wat you're doing... if you leave it open and exposed, its probably not illegal so much as it is hazardous (having things fly into your engine bay).
the cornering light doesn't really do anything, because its the indicators which indicate that you're turning.
but ultimately, a cop may defect you because he feels like being a bastard, and saying its hazardous.
but if you shape something to replace the cornering light, that doesn't leave your bay exposed, like a grill or something.. then i can't see why it'd be a problem... and cops probably wouldn't be able to tell if it looks stock enough