Right* (depending on jurisdiction, ymmv). Getting from it articles that you cannot have otherwise is (except for the vanishingly few articles in the public domain, which are not really likely to be found on Sci-Hub anyway. I tried).
Saying that the work could not have been done without it is basically admitting that you got papers outside the subscriptions of your institution. It is also against the policy of all the institutions I know, so could be grounds for termination. And again, this could apply to your co-authors as well.
I am really not endorsing the subscription model, but putting something like that in your articles' acknowledgments really is not smart.