Ok I have to word this carefully to avoid moderator wrath....
With movies and videogames the only experience is the product so piracy is technically removing the chance of income and therefor it can be argued that piracy is a moral wrong.
However where music differs is in the distribution and consumption. When purchasing an album the money goes to the record company who then keeps between 88 and 95 percent of the money, the remainder is used toward paying for the advance, recording, promotion, manufacturing, distribution etc, which means that the artist/band only start receiving royalties once they have sold quite a high volume usually in the Millions.