Of course, it’s illegal for an FFL to sell a handgun to anyone with an out of state license unless they ship it to an FFL in the person’s home state for the NICs check and to make sure it complies with local laws. As for rifles, while there is no federal requirement stating the same, you’d be very hard pressed to find an FFL that is going to sell one to a person with an IL license unless it goes through the same system, all FFLs especially in border states know IL laws and are obviously hesitant to run afoul of them, iirc there is actually a local IL statute prohibiting the buying of long guns out of state without sending them through an FFL (like federally for pistols but for IL specifically with the long guns too) in it’s own that the neighboring FFLs would get in trouble with the ATF for violating, not to mention FOID and standard capacity mag bans