You don't need to go and download roms one by one and no one should ever be doing this anyways. Mame sets are not difficult to find and now that The Pleasuredome web site and tracker is gone it's even easier to get complete rom sets since they are no longer locked behind a private tracker.
You can download a complete set and hand pick your roms out quite easily which is what I do.
So yeah, your entire post is wrong, you promote the buying of illegal hard drives which may have who knows what malware on it and your premise of picking games one by one from websites is wrong.
The buying of "pre-laoded hard drives" isn't as much of an issue because of "it being naughty" but more of an issue because they invariably cause issues for the end users and we end up having to provide support for them because the sellers are real scumbags. Why should we go out of our way to provide support for these people that steal roms, emulators and art work from the community to make a profit off it ?