There is a situation whereby copyright could be infringed. This would require you to purchase the broadcast in another country (a signatory to the Berne Convention), then relay the cheaper service back here in the UK to consumers. It's a very technical area of European copyright law, and very boring, but it is illegal. Here, you're not paying the full royalties due, so receiving a broadcast infringes UK law.
It's a bit different to purchasing Sky here and bouncing it abroad, which would fall under the ambit of Berne and the host country's laws.
The reason you can't watch BBC iPlayer abroad is another matter of licencing. In the UK, we all (should) pay the licence fee, so we are able to watch the broadcasts here. However, any broadcast outside of the UK is technically a new broadcast, and as such requires another payment. Again, this gets very technical and new broadcasts have included community ariels in tower blocks, hotel TV/radios and smaller broadcast towers in radio stations. Complicated, but that's the reason!