Yes the in UK it is illegal to remove the catalyst or any other air cleaning filters fitted to the car.
This will now be an instant MOT failure, and you can face roadside fines, and even confiscation of your car for driving one without the OEM exhaust gas cleaning equipment.
You could go with a sports catalysts, which are usually larger, and freer flowing. Overall you'll gain about 3-5% more power, so not that much, you can get better returns on tuning an engine from other mods.
In other countries, you may find it perfectly legal, but the trend is to outlaw this mod with more countries passing laws as the filters start clogging up and costing motorists £1000's to repair and end up looking to remove them completely.