It depends on what kind of PokéDex it is, really. If it's a strategy dex, like what Smogon has, then it'll likely give us some clues as to how our opponents will play their Pokémon, and that does give us an advantage. Some would indeed consider it cheating. If it's a regular one, however, such as those in sites like Serebii, there probably wouldn't be any issue, since we're only viewing things like stats and move-pools.