They're illegal to purchase here, not illegal to own.
And no, my confusion was trying to wrack my brain and figure out ANY kind of justification that might be good for determining that a sex toy couldn't go through the checkpoint. Like, any at all.
Mostly, it was shocked that they'd even stop one. But I guess, given TK's comment, I SUPPOSE I can see some very small justification.
After all, there's a cheat code in Grand Theft Auto: San Andreas that turns everyone into the city into a prostitute that's hostile to you, and is armed with various and sundry types of adult toys, with which they promptly run up to you and start beating you down with.
Good times.