I've read up a little about it, and zun's general stance seems to be that he doesn't condone it, but he doesn't feel he has the authority nor the responsibility to bother himself with it.
If I were you, I'd download from here anyway. Piracy is basically one of the only reasons Touhou is as popular as it is, and, like, it's not like zun's gonna crash into your home for playing his game...