It seems like "I don't support piracy/emulation but __________" is just a "get out of jail free" card.
Emulation is a pretty grey subject. The general consensus on the matter is that if you already own a copy of the game, and the hardware to play it, then it is considered to be okay to download it, and if you don't own either, then most of the stuff that you can download is abandonware by now, as most of the developers have long since been shut down , so it technically isn't harming anybody by doing it, and even if you do manage to track down a new copy of whatever you are looking for, it can often cost you an arm or a leg in terms of cost. That being said though, downloading a ROM is still considered to be piracy, which is obviously illegal, and even though I doubt that the police are going to track you down and send you to jail for downloading Pokemon Blue or whatever, it is still illegal. So there's that.