If you paid for the DG software and service and then only used the listings locally then it is difficult to see how anyone would know or be able to complain. But - if DG found that people were doing it and then publishing for others then I expect that they would include some form of block in their client software to make it more difficult.
This is generally true for most of the web listings as well. XMLTV has had to tread very carefully and has frequently pulled grabbers where the site owner asked them not to do it.
I think that DG has only moderate risk from this. Serious pirates could easily pull the feed already, all they are doing is preventing people with PVRs from getting the data really.
It's like the DVD thing, it's just a minor inconvenience to the wrong people really (Anyone hear about the intel demo showing off the new MS media center? So they are playing all these DVD's and saying how the DVD/CD player is obselete, and the journo asks them how they got the DVD onto the PC bearing in mind it's supposed to be copy protected, and the intel guy just says "oh, there are programs on the internet which allow you to do it"... Even intel don't "get" copyright protection.... Anyway, roll on "Blaster" infecting your TV/PVR....)