Legal repurcussions differ. IMO it comes down to: what’s the likelihood someone pursues me, and will I survive the expected cost of my defense. Nobody likes love letters anyway.
Individuals may have a lower risk, but the cost is high if someone decides to come after you. Large corporations can take the legal costs far more easily.
There's ways to reduce your risk in this sort of thing. The reason why people come after individuals is because BitTorrent is an insanely risky system. The achilles heel of P2P is that it has no privacy whatsoever, so whoever wants to extort[0] individual pirates can do so.
However, direct-download sites generally do not confer risk onto their users in the same way. Even if the site gets taken down or sued, copyright owners generally don't care about following their logs to find individual downloaders. While they still probably can be sued[1], there's no reason for a legitimate party to do so. At that point the copyright holder got what they wanted, and marching down to everyone in the server logs' house to make sure they delete their infringing movies is absolutely stupid.
For the same reason I've never liked the idea of "P2P YouTube alternatives". People rightfully complain about how they mishandle anything related to copyright, and they do, but the alternative is having every copyright holder with a chip on their shoulder financially cripple anyone who watched a video they didn't like.
[0] Legal scholars will probably object to my use of the word "extort". Yes, if you have a legal claim for relief then threatening to sue for it is not extortion, it's just the law. However, the only way to actually make antipiracy enforcement at an individual level not financially crippling is to cross the line into actual extortion. The Prenda Law and Strike 3 Holdings incidents are good examples of how easy it is to do so.
[1] The law is actually somewhat ambiguous on where the infringement actually is when you download something. I used to think "uploading equals infringement", but there's been some court opinions arguing that either both uploading and downloading are infringements, or that they infringe different parts of copyright. Nobody's bothered to prosecute a direct-download pirate to the point where this matters.
Of course there's also Japan which has a law that explicitly makes mere downloading infringing. There be dragons.
I generally agree with you. I’d rather not play the odds on exposing my identifiers anyway, whether p2p or direct. Might as well go the extra mile and make sure whatever IP is non associated with me, so direct download over tor or whatever — you get the idea. Why give someone the chance?
Individuals may have a lower risk, but the cost is high if someone decides to come after you. Large corporations can take the legal costs far more easily.