MTO - talking strictly in the baseball realm here. If something is not listed as a substance that is banned then it is ok to use it.
McGwires andro was banned in nearly every sport but baseball, therefore it was ok for him to use it without any penalty. Same thing with steroids.
Mlb knew of their use and chose not to ban them, therefore it was ok to take them. Pretty simple actually.
MLB and most pro contracts are very specific about what is and is not allowed. Steroids were not banned therefore it was ok (legal) in baseball to take them.