Nicotine isn't the same in a e-cigarette as in a 'normal' cigarette. In a normal cigarette the nicotine gets burned and it ends up in your lungs. This doesn't happen with an e-cigarette. Nicotine is never healthy, but an e-cig most likely reduces the risk of getting lung cancer. (And ever since I stopped smoking and starting vaping- my condition has turned back to normal)
Not the best description, but I don't feel like going into it now. But I think this picture explains it well.
If you choke on a vape and it burns it simply means that you can't vape and/or their nicotine level was probably high, or that the PG/VG* balance of their liquid was high. (Higher PG causes a sharp feeling in the throat, PG is not harmful) Most people choke on a vape the first time they try to vape.
*PG: propylene glycol
*VG: vegetal glycerin
I also don't get where people in America even get those 'illegal liquids' from. Are legal liquids that expensive to begin with? As far as I can see they are not more expensive in America than they are here. Weird. I wonder what drives people to go for an 'illegal' liquid anyway.