Technically, yes... it's illegal to disable or remove your airbags...but it's not a law that seems to be actively policed or prosecuted. Worst case scenario, you might get written up if you're stopped. So if you're paranoid (or plan to resell the car at some point), I'd hang on to your stock wheel.

I can't speak to the issue of horn problems. When I had installed my Sparco steering wheel on my old GTI, the horn worked from the first honk. h: But that was before airbags were in production.