I think it seems immoral but the more I think about it, it's not.
A corporation (like a studio) and capitalist system (like hollywood movie making) doesn't operate with morality. It seeks to gain the largest profit without regard to morality.
If these movie companies reached a fair profit point and made the movie free afterwards you could make the point they acted with balance. If they shared profits with society morality could be an issue.
But they try to make as much profit as the market will allow. They act without morality. Therefore you cannot assigned a morality value to your interactions with such entities.
It is not immoral to pirate (even if it is illegal in some places).
It isn't definitive that piracy actually causes any significant or definitive harm to large organisations. It fact in many circumstances the effect can be reversed - those who pirate films are also more likely to watch them and to encourage others to watch them.
Without a definitive answer to the harm question, you can't definitively assess the morality side of the question.