The definition of "piece" used is: "Arbitrary collection of points which need to bear any relation." This is in contrast to pieces of things in everyday life, which are firstly not made of infinitesimal points, but even if we keep rolling with that, satisfy the restriction that with every included point also some neighboring points are included.
This is not so with the "pieces" appearing in the Banach–Tarski paradox. In fact, they are so extremely rigged/fractal/dislocated/non-contiguous, that it is not possible to assign a meaningful measure of volume to these. For instance, the unit cube has volume 1. The empty set of points has volume 0, and so do sets which contain just a finite number of infinitesimal points. But the "pieces" appearing in the paradox are so weird that we cannot meaningfully attach any volume at all to them.
Also, there can never be any formula or any other explicit description of which points the five pieces consist of. This is because the proof employs the axiom of choice.
Well, it seems that you DO understand why it is considered to be very surprising and unintuitive.
The definitions of "ball" and "rotate" are perfectly normal. The definition of "piece" is slightly odd in that the "pieces" don't have smooth surfaces -- they are "jagged" or "fuzzy" down to an infinite level. (This is why common notions like "volume is conserved" don't apply -- such notions don't apply normally even to simpler objects like a fractal Serpinski Sponge.)
What is especially weird about the pieces (axiom-of-choice weird) is that specifying exactly what the boundaries of the pieces are is so hard that no clear description or algorithm can be given that specifies them. It's sort of like if you said "cut a ball so the prime-numbered points are in piece 1 and the composite points are in piece 2", except MORE strange because the definition of "prime" is easy to understand.
My favorite explanation is this one: https://www.irregularwebcomic.net/2339.html
No, volume always is conserved just fine, as long as you deal with measurable pieces. Sierpinski’s sponge has a well defined volume, and this volume behaves in a sensible manner. Normal sets have well defined volume.
The thing with Banach-Tarski pieces is that they cannot be assigned any volume in any sensible way. It has nothing to do with them being “jagged” or “fuzzy”, but rather with their weird behavior when it comes to self-overlapping translations.
The 5 pieces are highly un-intuitive objects. I imagine if you were to realize even an approximation of them, they would each look like a complete sphere, with infinitely many infinitesimally small holes poked through. But when you do put them together, each and every one of the (uncountably) infinitely many holes in the 1 sphere is perfectly plugged by one of the (uncountably) infinitely many points in one of the other spheres.
In these paradoxes, infinities are present from the outset and I think it's this that leads to the unphysical outcome. They're not wrong. They are mathematical paradoxes. But it's not a problem they are unphysical (from a physics point of view) because physics uses mechanisms, like the thermodynamic limit, to handle infinite limits sensitively. Then the paradox goes away.
For instance, the 'physics' version of the Hilbert hotel problem would say there are two hotels, one with N rooms and the other with M rooms. Then do all the renumbering you like, the paradoxical situation of filling both hotels and then putting all guests from both hotels into one of them is no longer possible. Finally, if you want to think about hotels with an infinite number of rooms take N and M to inifinity keeping N/M fixed
Edit: add physicified version of Hilbert hotel problem