Criminal harm, one financial centre cut short (7)
'criminal' is the definition.
'harm one financial centre cut short' is the wordplay.
'harm' becomes 'ill' (I've seen this before).
'one' becomes 'i' (Roman numeral).
'financial centre' becomes 'city'.
'cut short' means to remove the last letter.
'city' with its last letter taken away is 'cit'.
(Other definitions for illicit that I've seen before include "Not allowed, unlawful", "breaking the law", "Contrary to or forbidden by law", "Prohibited", "Contraband".)