black markets wouldn't be dangerous, expensive and inefficient if the state didn't prohibit them

If the state didn't prohibit them they would not be black markets by definition. In the absence of any regulation markets are dangerous, expensive and inefficient. You need to be able to have standardized weights and measures and the ability to sue people when they fail to fulfill their contractual obligations to be able to do business efficiently. You need a disincentive to settle things with violence. The state provides all of that and those things make doing business much easier and profitable.

If the state didn't prohibit illegal immigration they would not be much of a state, the positive effects to the economy of having second class workers that can be exploited because they don't enjoy the protection of the state are worth allowing that?
Slavery is great for the economy. This country was built upon that fact.