Ah yes, this certainly is an issue that many ponder but few address openly. I believe both sides should be given justice.
Personally, I'm a poor individual who doesn't have the $45.49 + S&H to buy a Hetalia DVD+CD from Play-Asia; I don't even have $29.95+$3.00SH to buy a CD from ebay (I blame the tuition increase). Truth be told, I believe that the price is too much, especially when a single CD contains five songs (then again, perhaps I am being stingy). And, as much as I love Hetalia, I wouldn't mind a slight decrease in price.
Another idea to keep in mind is that there is no guarantee that the companies will bring the music CDs over to America. Unless they believe that profit will win over cost, the companies aren't going to sell products in a different country (which is why I will never see some video games in NA). I'm not so certain about the present number of Hetalia fans, but unless it increases to the number of Naruto fans, I doubt that we'll ever see the CDs (did they even bring Naruto CDs to the states?)
Now, for legality issues:
(This is a direct quote from an email the university sent out) "it is illegal under U.S. copyright law to download or share copyrighted materials - including music, movies, games and software - from the Internet without consent from the copyright holder." So yes, you are correct when you say that downloads are illegal. Under this definition, though, even putting the music files up in YouTube or any other video site is technically illegal because it is being "shared without permission" (hence the massive deletion of videos on YT)
And of course, RIAA is out there somewhere, waiting to catch you. It's interesting, because they actually sent out a music file that contained tracking codes; using this file, they were able to find the IP address of people who downloaded the song and filed lawsuits against them.
Also, the owner of the copyright loses money every time their product is required without payment. This means that Himaruya is working hard, but not getting the maximum profit. As fans, we should be aware of this issue.
Now, this is just food for thought: RIAA is only concerned about the music companies under their label; from what I have seen, any other company is ignored (though I'm uncertain about the extent). Presently, neither Frontier Works nor Media Factory is on the list, but who knows in the future?
This isn't to say that I fully support illegal downloading. I too believe that as fans, we should be buying the products to show our support. Luckily though, the DVDs and manga are coming out next month (I will somehow find the money to purchase both).
(I had to laugh because I found this blog right after I got an email from the university warning students about illegal downloading. Life's funny that way *shrugs*)