I'd say exactly the oposite. It's illegal (= prohibited by law), but might not be morally wrong - I don't feel bad for downloading movies/music when any of the following are met:
(i) the content is not readily available (e.g. movies right after release, movies and music in non-G6 countries) (ii) the content is of shitty quality or atmosphere (e.g. low bitrate, CDs, cinemas) (iii) I would not pay for content (i.e. even if it were readily available in supreme quality, I would rather not have it than buy it) (e.g. albums that I'm not sure are good).