I hope I'm not too late with my reply. According to EASA regulations it is mandatory to attend classroom training before you are allowed to take theorical exams. Any ATPL Theory course without it is indeed 'illegal'.
Many of us has almost fell into the same trap before and I've heard about a captain who actually has. He created his site to raise awareness regarding this problem. You can also find lists for reliable ATPL training organizations based on feedback from many pilots. It could help if you are still looking for schools.