Well in the UK here leagally you are allowed to have them on a car, the trouble comes if you switch them on, I think there is a sub condition that if the car is on the public highway that the lights must not be able to be turned on from inside the vehicle. Basically friends of mine (And I used to) have US Police car replica's (CHP, NYPD, LAPD etc) now what we did was have an isolator switch in the trunk or under the hood where we could kill power to all lights/sirens. This ment whilst driving no amount of playing with your lights panel would make them go, once you reach the car shows and on private ground you pop the hood turn the isolator off and play with your pretty lights and sirens.
BUT, and here's the BUT it's alot better idea to put a cover on them aswel, although you should be OK to have them on show blue lightbars do attract to much problems (Especially from officers who are not 100% versed on the light laws), As in the UK Blue is for Police/Fire and Abulance, Green for doctors, And yellow for maintenance and vehicle recovery etc. Red does not have an official use (Although someone did say to me once it was reserved for royal use?!?!), so I know a few who run Red lenses and this seems to make the police alot happier, they then change lenses when get to show. Although red does seem to be sneaking in on Police lightbars at the back.
Also you can have a US replica even with the word POLICE written on it too if you wish, BUT if there is an accident and someone says it was because they where looking at you, YOU will be considered responsible for the accidednt (I don't know how true this is but I feel my source might be right), but if you have Highway Patrol written on it your OK
But basically in the UK I feel happy I could drive an Ecto 1 around without having to cover the lights, but I would do what my friend did and take many pics of it (He did of his NYPD Caprice) and take them to the local police station marked for the attention of head of the transport division, and enclosed a nice letter saying "Hi my name is Joe Bloggs, this is my Replica vehicle, please feel free to contact me with any questions you may have and or if you wish me to attend any charity events for you pleease just let me know". And got a nice letter back basically saying "Nice car, no problems here, we'll contact you if we need you", so had a letter form local police saying it was all OK
Anyway thats the viewpoint from this side of the pond