Is Recalbox legal?

Link: https://www.recalbox.com

I wanted to build a retro console out of my Raspberry Pi Zero.

I wonder if the download is legal because there are games for example (by Nintendo).

So I could now spontaneously find no indication that the OS already includes Rome or images of games. However, should it actually be the case, as you say, containing games such as Nintendo owns a copyright, the download in Germany and Austria (probably also Switzerland, Denmark Luxembourg, Belgium and Italy) would be illegal.