Yes it is legal. Different attorneys and plaintiffs have different notions of how best to achieve the result they want. Some will try to work with you first, some will see no value in that effort and just file suit. There can be valid reasons for pursuing each option and it really depends on the particular facts.
People should stop asking for, and expecting [much] professional advice in places where [many] people aren't qualified to give professional advice.
This really seems extreme. The did not notify you first or ask you to remove the pictures? I would go ahead and remove the images right away and tell them that you have done this. If you no longer have the images up I think they are just harassing you. Better to be safe than sorry, contact an Attorney. Good luck!
Sometimes even Microsoft will send a Cease and Desist letter before filing suit. As was stated, it depends on the plaintiffs and lawyers. Its cheaper to go the C&D route than strait into filing suit, and you can also show a judge that you tried to just get them to take the images down.