It's against the law? I don't think I've ever heard of that.
I think it's a bit of a grey legal area, especially since the recent Animal Welfare Act.
Before that, if prosecuted, your defence would have been that the snake would have died without eating live mice. However, there was never a test case through the courts, so the principle was never actually tested and there's no legal precedent. There wasn't a law against it specifically, but neither had it been proven to be allowed by law.
Since the Animal Welfare Act, I'd see the law as granting equal status to both the mouse and snake in terms of welfare and unnecessary suffering. Quite where that would leave a court case, I don't know. Theoretically you could end up getting prosecuted for both - a) cruelty to the mouse by feeding it to something else whilst alive (unnecessary suffering) and b) cruelty to the snake for not feeding it what it needed (unnecessary suffering). The AR lobby managed to get a lot of Animal Rights stuff included in the bundle, and most of it is open to interpretation.
Again, there's not been a court case yet, so the law hasn't been clarified.
Bottom line - if you feed live, don't make a big thing of it and nobody will know. Also, don't draw attention to it by buying your mice in the same shop all the time.