Think of the rule of check and illegal move as simply a means to extend the game.
If a king were to capture a piece protected by a pinned piece, that king would infact, by rules without illegal moves be captured before the enemy king.
Now imagine this vaiation:
White King captures rook
knight captures White king
Rook captures Black king.
Who's king was lost first? the answer would be whites!. This is why a king can not capture a piece guarded by a pinned piece.
Why is it that a king cannot capture a pawn/piece protected only by pinned pawn/piece in front of the enemy king (rendering the protection useless. It seems like a more natural rule to ALLOW this. You all understand.. so if I capture with a king .. enemy king moves... now my king is in check. Am I crazy? What's the problem with that.. seems like a a more natural and interesting rule.