I do both.
While it is technically true that downloading unlicensed titles is illegal, from a practical perspective, the Japanese have generally shown less desire to enforce their copyright here than the domestic distributors have. Personally, I think that international copyright law (specifically the Berne Convention) is unjust, and therefore treat it as if it didn't exist. Lex mala est lex nulla. It's not a defense in court, but it is one for my conscience. On the contrary, while there are problematic DETAILS with domestic copyright law (e.g., the excessive time a work is under copyright), I do think the basic principle is sound, so I try to abide by it as much as possible. Maybe that's rationalization, maybe it isn't.
Besides that, I do like to support the domestic companies, since if the Japanese had THEIR way, we'd have to pay $60/DVD instead of $25. Furthermore, I do like to have physical copies, and if the Japanese release for a series were under $40/vol. and had English subtitles, I would buy it for shows that don't get picked up for R1 release.
At any rate, I don't download licensed shows, but I don't complain if others do it, either.