Well, at the least it is illicit to receive sacraments from anyone but a Catholic minister, per Canon Law.
"Can. 844 §1. Catholic ministers administer the sacraments licitly to Catholic members of the Christian faithful alone, who likewise receive them licitly from Catholic ministers alone, without prejudice to the prescripts of §§2, 3, and 4 of this canon, and ⇒ can. 861, §2.
§2. Whenever necessity requires it or true spiritual advantage suggests it, and provided that danger of error or of indifferentism is avoided, the Christian faithful for whom it is physically or morally impossible to approach a Catholic minister are permitted to receive the sacraments of penance, Eucharist, and anointing of the sick from non-Catholic ministers in whose Churches these sacraments are valid."
We are bound by Catholic Church canon law. And are always obliged to celebrate the sacraments licitly as well as validly where this is possible. Even among Catholic churches, if you know that one celebrates them validly but illicitly (the SSPX in at least some cases, for example), but you have the option of valid AND licit sacraments in another place, you ought to go to the other. We owe no less an obligation to Our Lord who has graciously given us the Sacraments.
Why are the sacraments of the Orthodox valid but not licit? Put it this way. You choose to be a US citizen and are thus bound to obey US law. If I am a visitor in your country I too am subject to it.
Does that mean the citizenships and laws of other countries are somehow inferior or invalid in any way? Not necessarily.
But does it mean that the laws of those other countries equally apply to you or me on US soil? For example, that we can go around acting as if French, German or Japanese law applied in the States instead of US law? No again. Each country has its own laws, and its citizens and tourists are obliged to abide by them.
