Yes, distributing without permission/proper licences is not a good idea. Not because of whether it's harmful, unethical, or analogies to criminal acts like theft that are nothing to do with this; but because that's what the law is.
Youtube may get away with it and no one here seems to complain about the ethics of that, but they do have more lawyers.
Now, selling a game without a license (or rather, selling the game) is another thing. This is very bad. You do not normally sell software, never, not ever (well, except when a big $$$ company buys it from you). Instead, you sell a license, which is a limited (usually non-exclusive) right to use that software. Use, not own.It's a Good Thing to tell people what it is they're getting when they buy something. Though, I never recall lengthy legalese let alone "I agree" EULAs that have become commonplace in software, when buying a music CD or film on DVD. I don't think anyone could try to claim they own the rights of distribution or even the copyright based on that. (DVDs usually have the pirating warnings, but that's just repeating the law, not telling me what I've bought a "licence to use".)
This is usually explicitly stated in the lengthy lawyerese of the license agreement, and often part of the "by doing XYZ you agree..." clause on the sticker on the shrinkwrap (or above the download link), too.
If you don't do that, someone might argue that they bought the software (that is, all rights to it) instead. Which, although every sane person would agree that this is nonsensical, is technically true. Now, in states with cowboy laws, this would allow someone to successfully draw you to court (and win the lawsuit) because you later sold the game (which you no longer owned) to someone else.