Just because something is banned doesn't mean those in charge can't allow it for official business. You can't buy a landmine but the army of your country probably has thousands of the things.
The same goes for lightsabers, they're controlled and if you're not Palpatine, Vader, or one of the inquisitors, wielding one is going get stormtroopers shooting at you (and all that entails).
However, there is no actual reference to lightsabers themselves being banned during the reign of the empire (or during the Republic for non-jedi), but being a jedi is punishable by death, and there is little evidence that the empire's troops would take the time to work out if the person holding the lightsaber is actually a jedi or not before blasting them (or at least trying).