Well ... depends upon your local copyright laws. If something can be purchased on CD then it is copyright. And yes, Metallica is extremely anti-p2p sharing unlike 'some' other commercial artists. And unlike those yet to be signed to a recording company who appreciate the distribution of their music via p2p & thus the popularity, etc. it can gain for them.
My answer is short because copyright laws differ as per country. Risks is generally related to quantity. Some countries downlding copyright material is not illegal but uploading it is. Some countries neither uplding or downlding is illegal.