It doesn’t matter if it’s a CD, a Film, or manual with the instructions to build a spaceship. If you copy it, the original owner doesn’t lose anything. If you don’t copy it, the only one missing something (the experience) is YOU.
Enjoy!
Of course, if you happen to have some extra money for donations to creators, please do so. If you don’t have that, try contributing with a review somewhere or recommending the content, spread the word. Piracy was shown to drive businesses in several occasions by independent and biased corps (trying to show the opposite).
They still have the right to distribute it. It’s not like reddit, who not only claim the right but also apparently claim ownership of any content you publish there, while providing no consideration (payment) in return.
However, as you say, they have the right to deny you, and by copying you are subverting their rights. That’s still not theft, though, which is why copyright infringement is a separate offense.
Theft is a crime, copyright infringement is a civil matter.