My understanding is that membership of terrorist or rebel groups is illegal (and in fact can be grounds for US force to kill US citizens without trial like several US citizens killed while being a member of Al-Qaeda* ). But membership of groups that are... let's just say "unsavory" is not itself illegal. I don't know about groups like Atomwaffen to determine whether they belong to the former or the latter.

\* Which did stir up some controversy, but is not all that surprising. The precedence for this dates back to the US Civil War, it would be ridiculous to claim that the Union Army criminally murdered hundreds of thousands of US citizens on the battlefield without trial when the latter were fighting for the Confederacy.