Actually, though... If they've been monitoring everyone's internet traffic, it's feasible they have unwittingly downloaded illegal copies of media. Meaning they've committed copyright infringement on a massive scale?
The same would be true of the NSA. They aren't redistributing the data they download to anyone who asks, they are instead compiling an index to be searched for intelligence gathering purposes.
In the UK GCHQ has exemptions to cover things like anti-circumvention of copyright law; images of child sexual abuse; copyrights; etc etc.