Of course, there are moral concerns here, as you are often downloading the games illegally -- unless you own the physical copy, that is.
These games have often been out of print for decades, and legally exist in the wild only on outdated hardware. Is it not equally immoral to wait for the copyright to expire on these games to copy them, when the technology to do so may not exist in the future? Why is protecting a copyright on something that has been out of print, presumably determined by the publisher to be unprofitable somehow "moral".
No one gets sick on Wednesdays.