They wouldn't be totally wrong if they made that argument. Although, I personally believe that if you already own the game in one format, it's fine to use a ROM on an emulator. I'm open to other arguments though.
In theory the ROM sites have a disclaimer that this is archival purposes, to be downloaded by legal owners, etc. - in practice anyone can download them. But if it wasn't for these borderline illegal sites the games would D I E. Nintendo famously used an 'illegal' ROM of Mario and sold copies of it, some people speculated that they lost the original material.
Yes, I guess piracy sucks and is technically illegal but even I (and I don't play many games at all) had to download cracks for physical legal copies I owned (including once for a game published by SEGA, funnily enough).