It dosen't have to do with weither it's been released or not Tage, but if someone owns the rights to the said item. With manga and some anime your right. With VG's you're treading on thinner ice. It has to deal with developers/publishers. If a developer is the publisher (as with the case with Square, sega, capcom etc...) then they hold the rights to release it anywere they can (ie have a busniess licence). So any Square game that dosen't come out here is still licenced here. Also remeber that the Japanese love to use US international copyrights, so most VG's are copyrighted in both at the same time (why do you think there are multiple copyright dates on most Japanese VG)
With 3rd part licences it can be different. Sometimes the publisher only buys the rights to distribute it in one market (ie Japan or the US). If that's the case then there are no legal owners of the game here in the US, unless they used one of our fancey Copyrights.
So if you've got a concern about ROM's, unless you own the game it's illegal. Just to be on the safe side. Despite what people on ROM sites say, I find ROM's to be as illegal as MP3's that you don't own. Or downloading unlicenced software. Don't do it unless you OWN a copy of the game.