Piracy can be a convenience/market-failure issue, but it can also be a theft/moral issue. There are plenty of people out there who simply love taking stuff for free. If they could steal food from a grocery store, they would, but they can't, so they settle for pirating digital content instead. I've met people first hand who don't even try to justify their behavior - they just laugh and tell me they like free stuff.
Regarding your comment about deadweight loss: Yes, in a perfect marketplace, any product with a marginal cost of 0 should be priced at $0. But this ignores the fact that numerous products, including books and software, have very significant upfront costs that vastly exceed their marginal costs. If everyone pirated them on the basis of your economic theory, those industries would completely collapse.
Regarding your comment about deadweight loss: Yes, in a perfect marketplace, any product with a marginal cost of 0 should be priced at $0. But this ignores the fact that numerous products, including books and software, have very significant upfront costs that vastly exceed their marginal costs. If everyone pirated them on the basis of your economic theory, those industries would completely collapse.