It's about equally unlikely that you'll end up in prison or sued for downloading copyrighted content in the United States, especially if it is PD elsewhere. In fact, if it is PD elsewhere, the chances of your being prosecuted for downloading it approach zero.

Works passing into the public domain have very little to do with people actually getting practically slapped around for downloading them. But they have EVERYTHING to do with creating derivative works. If you create a film based on a book that is PD-US but still copyrighted in the EU, you can expect to get sued.

PD terms also affect legal libraries and archive significantly.

Germany forced Project Gutenberg to take down a few books for Germans who used the site a couple years ago, despite the site being entirely operated from the US.

There are a number of books that are based on Winnie-the-Pooh and quoting fragments. For a long time, I have had the idea to write a kind of annotated version of the stories with references to all the books that reference the text.

I understand Disney has the rights to the Winnie-the-Pooh character and that they still might cause trouble for those who publish text from the books in Europe.

Some works from that era still have publishers enforcing the copyright wherever they can. I remember some disputes about the Sherlock Holmes books which expired in life + 70 countries but were still under copyright in the USA.