Those are stolen goods. If you knew that your friend had a stolen car, would you drive it if they loaned it to you out of friendliness? Very likely not. A pirated movie is smaller in value than a stolen car, but it’s still stolen. It’s still illeagal. It’s still stealing.
I have faced this same dillemma when visiting with friends who watch pirated movies all the time. I have chickened out of speaking up and have watched them just to not make waves or appear uptight. But I know I was wrong.