Lets take this a step farther and say you are using official scorekeepers...
1. The coach brings you a change and it is illegal and you know it, do you report it to the official score who now in turn tells you it is illegal, what do you do?

Under above logic I take it you would tell her to be quiet.

I disagree to a point. If you know a substitution is illegal, you do not take it. You do not allow something knowing they are violating a rule. What you don't do is initiate the action after the fact.

In the OP, if there was an indication from a player or coach that something was askew, I will look into it. An example is something I had a few years ago. A player came to the plate that I didn't recall seeing bat before, but that is not unusual as I don't sit there and try to memorize the batting order. As the pitcher approached the PP, the catcher stood up and hollered, "new batter".

I backed out from behind the plate and asked the batter if he just entered the game and recorded the proper substitution. The defense openly stated they were aware of a substitution and the batter had yet to put the ball into play or be retired.

So why be different
 

Why do we not prevent anything that is illegal by rule? Why not prevent, not physically but verbally (i.e. "No, number 24, you can't return to 1b"), a runner returning to a base that by rule she may not return to? Both are illegal by rule.

Are you serious? As I tried (unsuccessfully) to say above, I see a huge difference, as in not even remotely in the same conversation, a so-called "illegal" action by a player during playing action that merely places the player in jeopardy of being put out and a violation by a coach of the substitution rules after notifying the umpire of his intended action.

What "illegal" playing action do we EVER prohibit before the fact?

I'm trying to think of an "illegal act" (ie: rule violation) that does not have a penalty or consequence attached to it.

Can't think of one...

In the case of a runner going back to touch a missed/left early base when she's no longer entitled to correct her baseruinning error, I don't see that as being an illegal act. If she does go back, what is the penalty associated with doing that? There isn't one.

Rather than being an illegal act/rule violation, I'd call this a moot act. Whether she goes back or not, it has no bearing on the play or the call. All that runner did was get a little extra exercise and some baserunning practice!

There are varying degrees of "illegal" action that umpires deal with differently. Certain illegal acts require our immediate action, others do not. When we see a batter square around to bunt and her back foot touches home plate, we don't stop the pitcher while in motion and tell the batter to get her foot off the plate, do we? Nor do we tell the catcher who is about to scoop a loose ball with her helmet she'd better not touch it.

True but...
 

There are plenty of rule violations, (and going back to touch a base they are not entitled to is a rules violation), that we don't rule on until requested to.

BOO for instance. This is a rules violation, just like returning in the above scenario. Do we stop it from happening? Not in ASA. We are suppose to wait until requested to rule on it.

Do we stop a running from returning? No. But we do honor the appeal if made.

It all boils down to the rule book, which states "May not return". Can you think of a situation where an umpire would say to a player or coach "Player Y may not do X", where X is not a rules violation?

We don't rule on that ever. The violation we rule on is missing the base / leaving the base early in the first place, not the return when they weren't entitled to. As said, above, it is better to look at this return as moot rather than illegal. We all know we can't read the rule book like Holy Writ. Even though the book would seem to declare this return as "illegal", what the rule is really saying is the action will not correct the leaving early violation.

Batter sets up with the feet over the batter's box lines before the pitch?

Batter about to enter the box with an illegal bat?

The second is not playing action; the first, we are explicitly told the pitch cannot proceed until the batter has both feet in the box.

"Coach, Player Y may not turn cartwheels as she goes around the bases after a home run."

"Coach, Player Y may not wear her jersey on her legs, and her pants over her head."

"Coach, Player Y may not come to the plate with two bats."

"Coach, Player Y may not send text messages with her iPhone while in the outfield."

Sorry, been a loooong week... :p

Semi funny ... but these are all actually in the rules (2-4 explicitly, 1 indirectly)