I use one on some on-line writing sites, but not on others and not for print.
I chose to use it for privacy reasons when I first started writing on-line. And, now I'm really glad I did. As I started to write, I was just learning the ropes and some of my articles are not what I would put out there now. I'm happy that they are under my pen name - lol. Basically, any on-line site that allows a pen name, I choose to do it.
As far as copyright goes, it means that I cannot submit the same article to different places where I use a different name. For instance, I can't put an aritlce on AC under my pen name as non-exclusive and then put the same thing up on Constant Content under my real name. I am ok with that though.
As far as legal issues go, I have no idea. I've always thought of it as using an internet name. My real name is not Twocoolboys - lol. I don't see it any different than that.