I am not so sure if that applies in all countries. IIRC in central europe (at least in some states) the "bad thing" is copying, not downloading. But I am not a layer and I hope someone with more knowledge can correct me.
You're wrong. But enforcement may make things closer to the position that you state. However I think relying on the media companies not to enforce their copyright is a bit naive.
Just done a bit of research (google), it seems to be more complicated then an easy yes/no (in Germany). Something to do with if the source is obviously illegal, then the download is also illegal, otherwise it seems OK. But the copyright laws are getting more and more complicated....