There are also countries where it is not - for example where I live last I checked downloading is legally ok, though some would say it is a grey zone moraly. It’s the distributing of a copy without proper licensing deals and stuff that’s illegal.

So downloading of illegal copies using torrents would be illegal in most cases as you would be seeding and thus providing the illegal copy to others.

Direct download is a-okay in the eye of law as long as it is only for your personal use