In my case, owning a PVR and having it activated by my cable company (Rogers) means that I automatically get certain channels, and I don't have to pay extra for them -- they're covered by the fact that I purchased the PVR. I don't get every channel, but I get a lot of them. And I subscribe to a few more. So yes, by the terms laid out by my cable company, I am paying for my cable.
Were I to download a TV show that is not aired on a channel that I pay for, then yes, that should be considered illegal. If I do subscribe and pay for a particular channel and I download something that's aired on it, I think it should be legal, particularly if it's an episode that doesn't get aired again prior to the next ep airing. But like I said earlier, I'm sure it's a lot more complicated than that.
cheers,
supervij