In my jurisdiction (France) we have the droit à la copie privée for that (and we actually pay a tax to the local RIAA and MPAA equivalents on all storage hardware for that right) so yes I have that second license as well.
Would you mind expanding what you're thinking about here? (FWIW the ”license” concept doesn't really exists in French law)
> droit à la copie privée wouldn't apply to the site sending you the file.
Sure, the website would be illegal without doubt, but that's independent. Illegal streaming services are illegal as well, but watching them isn't for instance.
For a more similar example, there used to be a website that gave you the ability to “record TV programs in the cloud” (recording what's happening on TV is legal because is falls under the «copie privée» definition): the website was prosecuted and found guilty, but no customers were.
