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I don't see why you'd be any less "entitled" than you would be to go outside and play in the dirt or watch birds. What difference does it make to them? They've told you they don't want you as a customer anyway, and you're not using their resources since you'd be downloading it from someone else, so your decision has literally no impact on them, and carries no moral weight at all.

Surely we are all entitled to do anything that does not affect others by default?

Linux is hardly a niche. There are a lot of consumer products that contain Linux in some form or another. Just nobody wants to support it properly.

It literally is a niche. The amount of desktop users using linux is way smaller than windows

We aren't talking about a choice between running a mainstream setup or a niche setup though. There is much more to this choice—I'm sure you understand what I mean. I don't want to dive into this discussion, I just want to highlight that it isn't as simple as you suggested.