Downloading implies data persists. AM/FM radio and TV antennas take an active signal and play it on-demand, without persisting the data, and without copy-protection.
The detail is with what's in-between the signal and how you're using it.
- It's fine for me to record antenna TV to VHS; there's no copy-protection and it's for personal-use
- It's probably questionable, but largely fine for me to record songs playing with my phone's sound recorder; you can't copy-protect public audible noise in this context
- It's not fine for me to put a dongle/box in-between a Roku or TV streaming box in order to break HDCP to record content. The problem here is breaking the platform's copy-protection.
- It's not fine for me to go to a torrent site and download a song. I think for archive purposes you have to archive from personally-owned media, but it's likely gray-area if you own the media and pirate content of that media from somewhere else (like if you own a PS2 game disc and download an iso online)
youtube-dl was being used to break/bypass YouTube's copy-protection.