No, it's not illegal, and in fact, Suse is obligated to provide it to you if you ask them. That's one of the requirements for using GPL licensed software.
You may find the source code on the CDs themselves (perhaps in a compressed or packaged form), or you may have to make a request to Suse.
One thing though: the source code for Suse is not one single entity. Most distributions are simply collections of other pieces of support software. The kernel is written and maintained by one group of people (and just plugged in by Suse maintainers), commands (such as the bash shell, ls, fdisk, init, and all kinds of others) are maintained by individual projects. Suse might modify them slightly (like changing where configuration files or logs are stored), but the only things Suse will probably be directly involved in developing are administration tools like GUI front-ends for adding users/groups, configuring a web server, package management, or other mundane tasks.
It would probably be best to have a focus on what you want to look at. You'll get buried in a mountain of data if you were to get all of the source code.