This is in danger of becoming a legal question. Normally it is a civil offence, meaning someone can sue you for damages. Only in certain cases i.e. copying on an industrial scale may it become a criminal offence i.e. punishable. (It may differ in other countries other than the UK).
I would say something like "Downloading copyrighted videos is illegal, and may have consequences."
"Consequences" here would be understood as something that is not good, without being specific.
If you specifically want to mention a penalty (not sure exactly what you have in mind here) you might one of these:
Downloading copyrighted videos is illegal, and may result in....
imprisonment
a fine
you being sued
your computer being confiscated
etc...