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.
Obviously if your original is lower quality (say, DVD) and your pirated backup is higher quality (say, Blu-ray) then I would concede that it's piracy of the difference (i.e., you're only entitled to backups at the quality you originally purchased) which can reasonably be considered piracy in full. For simplicity, let's suppose both originals are identical releases.
If a copyright holder would consider this to be piracy, logically they should also consider it piracy if you download your digital purchase multiple times without using the same CDN point of presence each time. I'm quite certain they'd consider that a non-issue, since it all shares a common ancestor (the master for that particular release) regardless of any meaningless duplication between the master and the licensed consumer.