I feel it has the same moral implications like torrenting while being much more difficult to set up.

It's sad and frustrating - a while ago I spent a couple of hours searching for a legal way to buy music from a Finnish band I really liked, and each and every service was geographically restricted (I'm from Croatia). A couple of clicks on your torrent index of choice, and there was the album in its full glory. The Industry(tm) should really learn a thing or two from the "evil pirates".