Rock exaggerates to make the message is super clear, illegal downloading is stealing. At the end of the video he takes a long drag on his cigar and says "Stay in school and stay off the drugs." I will add that buying an iTune certainly isn't stealing, but it doesn't make a lot of sense.
Don Reisinger's recent blog, "The music industry abuses us and we're to blame" brilliantly illustrates the point. When you legally download music, you don't really own anything. Or as Reisinger put it, "When you 'buy' a song on iTunes, you're not really buying it. Instead, you're acquiring the license to listen to a song that can be taken away from you at any moment, can't be sent anywhere you'd like for it to be, and is subject to draconian copyright laws that see you paying too much for too little."
Come on people, wake up and buy CDs, LPs, or DRM-free downloads.