Most of the things you buy are manufactured under conditions that aren't legal in the US as well.

It doesn't make it acceptable, just endemic

Breaking the law doesn’t follow the transitive property. Many businesses that people interact with have done illegal things. You typically can do business with someone as long as you aren’t breaking the law in doing so.

Why wouldn't they be allowed to? If (suppose) the UK completely banned the sale of tobacco under any circumstances should a UK citizen be forbidden from investing in a US tobacco company? Why?

Polymarket is forbidden to sell their product within the US. That doesn't mean they can't take investment from or employ or even be headquartered in the US.