I think its the fear that our hedgehogs (or other exotics) will become free and overrun the eco system in the area. We do have examples in random places, pythons in the everglades, the mice plague down in Aussie Land back in the 1980s, and so on. I'm pretty sure that is why they are illegal in NYC, the same with ferrets which were banned due to fears they would organize into wild colonies despite the fact they're unable to survive on their own.
The only place that I know that is psychotic about it, is Penn State. If I remember correctly, they made them illegal except for the breeders, and then turned around and made them illegal in any way, shape or form. They'll snatch them out of your car, they raided the breeders like they were terrorists. Its basically said do not travel through the state with your hedgie, which makes it hard as they basically block New England in.
And now, time for some spam, my picture collection that I have online at the moment.
[ Hester Sue "Satan's Hedgehog" ]
[ Loki of the North ]
[ Vera Lee (RIP) ]