Yes technically it is illegal to use a scanner, (but not to own one), but its horses for courses, and I do recall reading that the law enforcement agencies (the police usually) operate discretion, dependant on circumstances.
Walking around an airshow listening to the Utterly Butterly lot is hardly likely to attract any attention. Being stopped in a built up area with 2 screwdrivers, a car jack and a scanner would probably result in a choice for you - hand over the scanner for confiscation or face court proceedings.
However, very useful in developing an insight into R/T procedure.