I can do this legally for games via GOG or Steam, I can do this legally for (most) software I use, I can do this legally for music (limited artists) via Bandcamp, but there's NO option for movies, TV series, or most mainstream music. I literally cannot legally watch the latest episode of any of the shows I follow, because when they do have an online offering, it's restricted to the US.
So for me, downloading a movie on TPB is first about convenience, I want to get to the movie and TPB is the means to it. But implicitly it's also sending a message to the gatekeepers of content that I'm interested in their product. The other part of the message is making a habit of looking for and paying for convenient, DRM-free content when it's available.