Look, the "people want to pay" argument is as much bunk as your "people want stuff consequence free" argument. Both are oversimplifying, both focus on extreme ends of the truth.
Think of piracy and legitimate media sources as competing services. Looking at the "consequences" of using a service is only one aspect of the value of that service to the user. Likewise, looking at the ease-of-use for a service is only one aspect of its value to the user. There are many criteria to evaluate services on, such as price, availability, convenience, security risks, additional services, legal and moral consequences.
Internet piracy is always going to be cheaper than legitimate sources (unless content providers and ISPs start bundling services together cheaply). This means that legitimate media sources have to beat piracy in other areas in order to stay competitive. The fact is, many media industries have focused heavily on the legal and moral consequences side of things, while continuing to provide a service that is actually WORSE than piracy in terms of availability and convenience. This is probably the least consumer friendly way of dealing with the issue, and rightly draws a lot of criticism.
These days, services like Netflix and Steam provide convenience and availability, with addition services (such as support and recommendation services) that are valuable to the consumer. Plus, there is the added benefit that these legitimate sources don't provide malware and other security risks present in pirated media (especially games).
The "people want to pay" argument is really just a way of saying that there is a significant market share that would be attracted to legitimate media sources that provide a quality of service competitive with piracy, but otherwise would be motivated to use piracy instead. The massive success of Steam and Netflix proves that point.
However, the continued and expanded provision of services like Steam and Netflix hinges entirely on content distribution companies believing that this market segment is large enough to compensate for the income they would otherwise get from providing restricted services where a small number of big spenders pay a lot to access artificially scarce content.
The moral and legal consequences that you care so much about are the result of very high level business decisions. Media industries have used propaganda to change public perception of morality (e.g. "you wouldn't download a car" etc) and lobbying to change the law (e.g. DMCA etc). I expect they did an analysis and found that the money they spent on this was much less than the extra income they got from continuing to be able to provide artificially scarce content for as long as they have.
There is a genuine moral issue with regards piracy, in that people who create beloved works of art should be rewarded for their efforts. However, the content distribution companies are massive culprits in preventing artists from being rewarded for their work (have you read up on how the music industry works?) Content distribution companies don't really deserve to be rewarded greatly for distributing content - it's an easy job that pirates do for free. The only reason they have been rewarded greatly in the past is due to their extremely strong market power (and probably because many artists aren't very business minded). You might argue that content distributors should be rewarded for advertising content - however, the journalistic review system, or external recommendation systems, could easily replace advertising in bringing new content to people's attention. In fact, in some industries (e.g. games) the money spent on advertising actually harms the integrity of the review system. Lastly, the financial rewarding of artists isn't the only moral issue involved in art. Good art being made available to the public is a good thing in and of itself. Content distributors are in a privileged position, protected by law, they should have some moral duty to make decisions that reward them with profits while also ensuring a wide audience. Game of Thrones is a significant work of writing and performance, it would be a terrible shame if people weren't pirating it, because then hardly anyone would get to see it.