Illegal? Fraud?

There is no legal requirement to leave the EU on the exact itinerary you planned on when you entered. If you buy a ticket to fly JFK-CDG with a return flight 60 days later, and then after arriving in the EU decide to change your return ticket so that your stay is 70 days instead of 60 days, you've committed no crime.

The legal requirements are fairly simple:
Don't overstay the length of your visa - original poster has not indicated that he is intending to do that.
Don't engage in activity outside of the scope of your visa - original poster has not indicated that he is intending to do that.
Onward transportation requirement - the policy exists to indicate that someone has the ability to leave. They want to avoid the scenario where someone shows up indigent, is stranded do to lack of money, and then has to be deported at considerable cost.

An airline ticket is more than just a contract for transportation. If one were using refundable airfare to access lounges repeatedly and then cancelling (like in the famous Lufthansa case), yes that would be fraud. But using an airline ticket as a means to prove financial ability for onward travel is well recognized.