I know YouTube is a terrible provider of pirated content and also that it is almost impossible to pirate without a VPN, but I would like to know: if I download a movie from YouTube (directly from it, of course) without a VPN, will I receive “that type of message” from my ISP?
YouTube is going to be better than that since it will be https and thus tls encrypted. The only thing your ISP sees is that you transferred something from youtube.