I can speak from my own experience with a very angry Thai ex girlfriend, she reported me to immigration, the embassy and the local police station for working online here for years without a work permit. The reaction of the officers was either laughing or said Mai pen Lai.
As long as you don't interfere with Thai business or economy you are not doing anything wrong.
compared to all the other visas(Ed, tourist) a bargain, don't need to leave the country, no expenses for flights hotels etc, just stay here and lay back.
I went on that agency route and it was the best decision, they take care of everything, residency certificate, reports, extension and so on... And that's by far the cheapest way for someone who wants to stay here long term anyway, the yearly cost of all that magic comes down to 95baht per day... Cheaper than anything else.