Keep in mind there's no obligation on their part to sell it to _anybody_. Taking matters into your own hands and choosing to download something you want-but-can't-buy happens to be different to physical goods, in that you're not depriving the original owner of the use of the file, but assuming you've got the "right" to have a copy is a particularly advanced sense of entitlement.
It's probably easier to have come to this realisation from Australia, quite a lot of "the internet" doesn't believe you exist if you don't have a US credit card billing address, so it's not just music and ebook downloads that I've had to make the choice of "Pirate? Use VPN & fraudulently-obtained-pre-paid-credit-card*? Bother a friend who does have US internet-commerce-existance? Or do without thing I was about to buy?".
Maybe I should pot a graph of my major label music purchases by year, and do a blog post explaining the recent steep decline?