Copyright infringement laws vary but even though simply downloading copyrighted material is against policies, it’s hard to enforce and most copyright holders don’t always find grounds for a lawsuit or it’s straight up not worth pursuing. You downloading a movie off a website is the same as a friend of yours sharing the same movie with you on a USB stick.
Actions against unauthorized distribution of copyrighted materials (especially if it’s for profit) on the other hand are much more easily enforceable.