People say this all the time and I'll never understand it. Why not support a band you love 100%? And not 66%?
If the implication is that you just take music, a lot of bands don't differentiate. Everyone will say something different, but for smaller independent bands that fund everything out of pocket, (like the thousands of dollars in recording expenses), taking a record, physical or digital, is no different than stealing a t shirt off their merch table.