When downloading something copyright protected and using it personally at home, of course no one will complain against you, cause no one knows, but the act of downloading copyright protected conent for free is simply not legal.
Like we agreed, some countrys may have less strong copyright laws and some have harder copyright rules, some have not such a big problem when it comes to “personal” use and for some countrys it makes no difference.
And like wrote there are agreements between countrys but however copyright is a bug subject which is changing constantly. And the end of the storry is, that even in spain the copyright law will chnage dramaticly and it will become the same
kind of illegal like in germany, no matter if for personal use or not. The Music, Movie and Game industry is so huge and we are talking here about so much money, the have simply the power to perfom enough preasure to the politics.
And of course they can catch you, when not using proxy servers or services, you are leaving tracks like your IP address. Thats how they caught all the guys in germany. Here in germany it is a very profitable “business model” to caught copyright protection, the industry and the lawyers are making really good money with it.