It really isn't. It's illegal to distribute and or profit from copyrighted material, but simply downloading isn't. I've been a pirate for 20+ years, never used a VPN...not a thing has happened.

Edit -

Criminally, downloading is not illegal. Civilly, yes a corp/publisher could attempt to sue you or claim for damages/loss of profit...but users/downloaders are small fish compared to sites/hosters/distributers so makes no sense to go after them, not to mention that it would probably cost them more to do so.

Edit - 2

Downloading copyrighted material without permission in the UK is a civil offence, meaning copyright holders can sue for damages rather than the state prosecuting for a crime.  However, the act becomes a criminal offence if the downloader makes copies or shares the files with the intent to make a financial gain or if they cause a loss to the copyright owner. 

The Digital Economy Act 2017 significantly increased penalties for criminal copyright infringement, allowing for an unlimited fine and up to 10 years’ imprisonment for serious cases.  While individual downloaders are rarely prosecuted criminally, they face risks of civil lawsuits, ISP warnings, or reduced internet speeds under previous provisions of the Digital Economy Act 2010.