Yes, downloading music through unauthorized channels is morally the same as theft, because it is just taking what doesn't belong to you. That a product might be offered for free in one venue does not mean that the product is free in general. If someone wants to offer a product for sale in one small channel does not mean the product is always free.
Music that is protected under copyright laws is intellectual property, and federal law states that intellectual property is not held under public domain. Therefore, even though you might be "file sharing," someone had to originally steal the music, so downloading it is knowingly taking stolen goods, another crime. The argument that you are not physically taking something is false, you are depriving the original owner of the profit he/she would have obtained through a legal transaction. Lastly, government regulation does not signify morality - although swearing is not regulated by the government, calling an old woman on the street the "F" word is incredibly immoral.
When someone downloads music without paying for it, this is essentially stealing. None of us would appreciate working at a job, only to not be paid for it. The people who would earn money from the sale of the music miss out on their profits. Musicians and music labels can't live off popularity; they must also be paid for their hard work.
It's not a grand heist, but at the end of the day you are obtaining something for free that the creators expect financial compensation for and have the paperwork to back up their claims that it should cost you money. It's not a massive crime but it still is one, it qualifies as theft.
Although it is technically illegal to download music illegally, since the government does not enforce this law, it is not morally wrong. If a law is impossible to enforce, it is not a practical law. People could always record music off the radio and listen to it later. The recording industry is being too greedy.
I understand that by downloading music you are taking money away from the record label, the artist, products, and other people. However, file sharing is not exactly the same as theft because some person is putting up their data and you are simply copying it. You are not taking it away from someone else.