When something is unlicensed, it has no license, i.e., no official government approval. If a restaurant doesn't have a liquor license but serves wine anyway, it's an unlicensed sale of that beverage.
You will hear the word unlicensed most often involving illegally-possessed firearms. Murders are often committed with unlicensed guns, meaning that the killer purchased the gun without a license, most likely from a shady dealer.