Just to play devils advocate...there is one crucial difference here. You cant eat a cheesburger without getting a physical cheeseburger from mcdonalds. You can, however, sample a game illicitly without any *actual* loss to anyone. So one could theoretically sample the game without the dev being burdened by the cost of even distributing it.
I specifically mentioned that I'm aware that software isn't a tangeable good, which is why this is a philosophical quandary. I'm going to assume on some level you agree with intellectual property. If someone writes and song or a book, you're likely willing to concede that they own that material. Now, there is a difference between morality and ethics. Many people wrong confuse this with a moral problem, when in fact it exists in the realm of ethics.
There is nothing immoral about taking what technically isn't there to take. Your not stealing anything that someone would miss. Therefore, from a moral standpoint there is no theft. However, ethics are derived by society in the form of rules and laws. Often times these laws operate completely outside the realm of morality....it is not immoral to talk on your cell for while driving, but its unethical (i.e. illegal) in some places. I agree with your "it's not really theft" premise, but this isn't bible school either. Society has determined that it is wrong to use other people's software without their permission, and thus it is unethical regardless of a persons view of morality.
Copyright laws were created for economic reasons. This is one of the few times where monopoly is preferred. This goes for any product, but if you are the one who owns the rights to it, you have the right to profit from it. Ironically enough, capitalism thrives on monopoly. It's not a dirty word when used this way.
Basically, I'm getting down to this. The reason it is illegal to copy software is because licensing is the only way where the developer can maintain legal authority over it while profiting from its use. Since developers literally make all their money from software, every unit counts. I'll concede that not every pirated copy would have been a sold unit. That's impossible to calculate. However, like everything else, it doesn't take much to make a big difference.
At the end of the day, it is illegal. I'm not an angel. I've done it time and again, but I'm not delusional to think I have a right to do it. I'm try to take a step back and look at the big picture and try to realize that I need to support my hobby, which means supporting the developers that support it.
Anyways, I apologize for the soap box. People are going to do what they will do. Sometimes it isn't enough for people to know that it is wrong to do something. Sometimes they need to know WHY it is wrong in the first place.
As far as Sony, I think they go to far. Chasing offenders is one thing, but blatantly removing features from their console as a reactionary measure is just stupid.