Steam has it mostly figured out, though. Look at SteamDB at international prices and you'll discover that prices in Brazil or Russia are often a fraction of the US/EU price. Turns out selling the game for dirt cheap makes more money than not selling it.
I would say it's still unethical and wrong, regardless if we can't point to a specific entity being hurt. It is entitlement to want something for free when one can't afford it. There are -so- many games nowadays, and many of them are not even close to $60. And as mentioned, steam is generally aware of regional currency discrepancies.
And I would argue accepting or condoning pro-piracy attitudes is harmful in the long run versus accepting that one can't just take things that one wants, and paying for things when able.
Top AAA makers also get incredibly high profits while underpaying their employees. And the prices on their games go up simply because they can.