Taking something from Walmart removes the item. This can increase prices for other shoppers and has consequences.
Duplicating/downloading a movie or a games does not. It just creates an identical copy and removes nothing.
Those are not really two things you can compare. I am totally OK with the latter, I consider the former unlawful.
I can still go and buy a license to pirated content if I feel it's worth it after I consumed it.
I guess Walmart would be very confused if you came back to pay for the banana you stole a week ago because you did enjoy it. Might even get you into trouble.
EDIT: And you're right, it doesn't make sense that piracy is illegal. The law should be changed. At least the punishment is ridiculous.