They're not legal on most public lands I'm guessing. On private land I always make sure to ask the owner before putting anything into a tree.
That being said, it's not much damage to the tree. Trees deal with all sorts of things over their life. And if you screw one in, remove it and come back six months later all you'll see is a little bump or mark on the bark where it has healed itself back up.
But-it's certainly doing more "damage" than if you didn't screw anything in at all.
-Jake