The obvious downside though is at some point the show may just magically disappear from your purchased library, if negotiations between the platform and the creator go south††. I'd love to see some laws in this area where "a purchase is a purchase" to prevent this, but for now it's a risk (albeit one with maritime workarounds).
† or license leasing if you're buying digitally
†† ie https://discussions.apple.com/thread/6449826?sortBy=best
Buy a season of a show (an album, a book) digitally to indicate your support and help keep it running. Then pirate and keep a local copy of the same to ensure against future unavailability, and for more convenience.
I bet enough people in the media industry understand this mechanics, and sort of turn a blind eye at it, because it's not affecting their bottom line materially.
For ebook the situation is worse but for many technical books there's a way to purchase a DRM version.
Movie/TV series is unique in a way that there's no option to buy a DRM-free version.