After a certain point, it's about convenience and curation. Amazon's ecosystem is incredibly convenient. Buy once, read anywhere on any device. Your highlights, notes, and progress sync automatically. Pirated files don't do that. You're managing files, transferring them between devices, losing your place.
Furthermore, the store is curated. You see 'readers also bought,' new releases from authors you follow, and personalized recommendations. The pirate site is just a barren list of titles. You miss the connective tissue that makes reading a hobby rather than a series of isolated events.
Modern reading is a connected experience. It's social (Goodreads updates), it's algorithmic (discovery), and it's seamless (sync). Opting out of that for the sake of free files is opting out of the full, rich modern reading experience. You're settling for a stripped-down, cumbersome version of the past.