If you use a BitTorrent link to download a complete set, your IP address is visible to everyone in the swarm. Nintendo has hired law firms to monitor these swarms. While they rarely sue individual downloaders (they target site operators), your ISP will send you cease-and-desist notices. Accumulate too many, and they will cancel your internet service.
There is a thriving community of developers making new NES games (homebrew) that are legally free. Games like Micro Mages (Modern homebrew) or Alwa's Awakening are incredible and legal to download. link download complete nes rom set
When you finally open that folder, you aren't just finding Mario. You find the weird, the rare, and the impossible. If you use a BitTorrent link to download