My theory is that since the Watchtower (their common conscience) says nothing about it, they can do it, until something different is told in by the holy bunch of Brooklyn.
Actually there was something about a few years back in the KM, however, most people just ignored it. I know JWs that have full movie collections of pirate DVDs and their not just ripping them from each other. A number of them actually drive into certain areas just to purchase pirate DVDs.