There are too many grey areas in this kind of discussion to get a definitive answer.
Clearly original art belongs to whomever possesses it. However, unless its copyright has been assigned - in writing - to the owner, the artist retains such rights.
Therefore, if someone were to BUY artwork without also obtaining the copyright to sell reproductions of it, they would be in violation of U.S. copyright law.
However, in a case like this, where certain concepts are controlled by Lucasfilm, things get a little complicated.
I can draw a picture of Darth Vader and sell it, no problem. I created the art, it's mine to sell. However, I can't copy the art and sell it because, even though I hold the copyright to the original art, I don't hold the copyright to the character.
I would imagine the same would hold true for anyone selling a disc of Star Wars art. The logos, actors' likenesses and such do NOT belong to any Star Wars fan, they belong to Lucasfilm, Hasbro, and the respective performers.
One could argue that custom figures are "art." They are one-of-a-kind pieces that are not mass-produced. As Jesse pointed out, plenty of customizers go from being artists to bootleggers. That's where the problems begin. Once you've made more than one, you're getting into some deep poodoo you might not be able to afford getting out of, right or wrong.
In the case of the Sith Infiltrator auction (a DAMNED fine piece, by the way), I suspect it was stopped because Lucasfilm already has licensees in place who pay for the rights to make such a product, even if they choose not to do so. LFL is protecting not only their rights as licensees, but the Star Wars brand overall. They can't have just anyone watering down the Star Wars trademark. They've got the entire EU for that.