I have no doubt they know it's illegal. That's why they try to cover their tracks in every aspect.
As far as whether they believe it's immoral, I certainly have heard comments that they don't believe Canada's all that bad, or that they believe this is a good place to be, because if you do get caught, sentences aren't too bad here. Don't go to Cambodia, where you'll probably get 15 years, or the United States, where you might get 50 or 60 years for multiple offences.
I still think in some ways there is some sense that it's immoral as well, but the sentence and how we treat it is a major portion of why we're seeing what we see in Canada.