No, the only downside is that iTunes Movies are DRMed BS. I have to buy an Apple TV to watch it on my TV. I have to use an iPhone and copy the movie to the phone, wasting my precious flash space.
With the .mkv files I get from a .torrent, I can stream them to my TiVO with pyTivo [1], or I can host them on a server [2] and use StreamToMe [3] to stream them to my phone, ipad, computer across the cell network or local wifi with no restrictions. I can stream to non Apple devices with Subsonic [4].
It means when I'm visiting friends or family house we have access to all my movies without me having to plan ahead. It means when I accidentally arrive 40 minutes early to a meeting I can kill time in my car by streaming an episode of a TV show.
To me that is the reason to pirate. I'm happy to buy stuff. I just want to actually be able to use the stuff that I buy. There is no service out there that does everything I can currently do.
[1] https://github.com/armooo/pytivo
[2] https://github.com/caldwell/stm.js