I have never known any action taken against people listening to airband, and I wouldn't expect to unless someone was extremely silly, i.e., passing onto the media something they had heard, or, in the UK, streaming live ATC onto the Internet.
However, it is true what BRL said about Police 'stings', and I know of people who have been spoken to and reported to the RA for what they were listening to. I believe at least one case ended in prosecution.
There is a belief amongst some 'scannerists' that even being caught with a scanner with inappropriate frequencies programmed into the memory is enough to prove intent.
I dunno. Don't shoot the messenger.
But to get back on-topic and to Footsie, I don't think anyone is going to be stressed out by you improving your RT by listening. Enjoy.