That's fine that you don't other people define your morals, but when its their property you are downloading you should abide by their rules.
Why is downloading licensed shows worse than downloading unlicensed shows?
The point of fansubbing was to raise awareness for titles so that they could be licensed by anime companies. Even though this is a direct violation of copyright laws, since they were doing a service for the companies and the fansubbers would stop subbing a show when it was licensed the companies turned a blind eye since they didn't see them as a threat to their titles. When shows are available after a show is licensed it could become a threat since people will turn to the cheapest route available which would be using the various p2p services.
Since you say that you buy the series that you watch I have no problem with you doing that, its just the people who don't do that I have a problem with.
Here's a topic over at gamefaqs that illustrates that.
http://cgi.gamefaqs.com/boards/genme...topic=11007014