I'm one of those people with none of those options. Yes, it's definitely still wrong. Just because we don't have the option, doesn't mean it's morally / ethically right and or legal.
But that doesn't mean it isn't morally and ethically right either. You need to first lay out a moral framework that enshrines copyright as inviolate (I'm very curious what, if any, exceptions you'll make for fair use), and then argue for it. It seems to me that in the most common rational models of morality, things default to being either moral or amoral unless shown to be otherwise.
These are ephemeral goods we are talking about. Nobody loses anything if you download a movie. I don't see how it is morally wrong to download something if the creators refuse to take your money.
Again, like all my opinions above I'm going to get downvoted, but I still can't comprehend how you can justify that it's not wrong to download it just because they're "ephemeral" digital goods.
How does that make it any different?
How about this: famous dress maker designs and creates an extravagant dress and then you, with your fine sowing skills replicate the dress entirely and wear it. Is that not wrong in your eyes?
The above isn't the best example, but I still can't see the reasoning as to why it's not wrong.
First off, your example wouldn't even be illegal, as far as I know: at least in the US, fashion is not covered by copyright.
Secondly, I don't see why it would be immoral: the designer of the dress is not hurt at all by your copying it. Now, if you claim your dress has actually been made by said designer--e.g. you infringe on his trademark--that's basically fraud and a completely different case.
The real issue is that it seems you define "wrong" as an enumeration of things you shouldn't do, among which you seem to include copying without permission.
You haven't given any reason for it to be wrong. I think that something is not "wrong" or "immoral" by default; unless there's a good reason for something to be wrong, it shouldn't be. And, as copying like this does not obviously harm society, I see no reason for it to be wrong.
"Wrongness" seems fairly straightforward in this context: you're deriving utility from the work of others without the recompense that we as a society have deemed is their right to extract.
The major content producers and their organizations (the RIAA, etc.) are stupid, but I think it's rather hard to allege that they don't have the moral high ground.
It's an entertainment product you can choose to access.