Right. Something being illegal can put additional pressure on someone to keep it quiet. But, blackmail is more often about shame than about something being illegal.

Some things should probably stay illegal: paedophilia, bestiality, cannibalism, etc. In that case, the comic is wrong. Despite the fact they could be used to blackmail someone, they should remain illegal. Even if someone has no shame in engaging in one of those things, it’s better that it remains a potential source of blackmail than that society allow people to do it.