VPN is allowed in Germany and guess who has one for general security.
But to give a bit of insight in the legal sutff, there are different level of offence and danger. It is no problem to download public versions or stuff where major copyright already cheased (e.g. the old Basil Rathbone Holmes movies was such a case), it is let us say "slightly problematic" with stuff you download, but are unlikely to get sued for from the rights holder. Downloaded via "normal" download, this is a grey legal area and rarely you get into court for it, mainly due to getting caught in relation/due to some bigger fish busted. Chances are still ok that you get off with a blue eye, if you did not totally overdo it.
Hot Iron stuff are downloads of current movies, AAA games and such, where companies and rights holder are actively sueing even the small fishes and Joe/Jane Average. then you are in really hot water and unlikely to escape justice.
The "game" changes when you did download with a torrent, because torrent use makes you an active product pirate in the eyes of the law. Normal "standard" download via e.g. Mega or so, has many shades of grey legally speaking in Germany, depending very much on several things, which makes sentences from nothing to jail possible. Very situational, but torrent use makes you toast.
That is it in a compressed nutshell