Good interview.

Different. When you download movies, you're being outsourced to by someone who is distributing an item without obtaining the rights to do so, therefore, it is a form of illegal online distribution
Getting a box printed for yourself, however, is the same thing as the thread started by red_153d, in which he did "unofficial covers" for GOG's games. If I can legally download the artwork on to my system, why can't I print it out? The only added difference here is that I'm not distributing this to anyone, therefore threatening the proprietor's distribution - and earnings - of the game. If it was illegal, then we shouldn't even have access to the artwork to begin with
Of course I can understand the possible legal implications should GOG partake in encouraging GOG users to start printing their own boxes, but that's another thing altogether

However, red's covers are not the same as the original box and he is not making any money of it so the potential for infringement is pretty low, but is still there, doubly so, since he not only uses the game's original artwork, but GOG's logo and designs (before GOG released them publicly). Additionally, they are printed on your home printer, so you and you alone are taking on any of the potential infringement responsibilities, unlike your box printing idea, which would bring a third party business into the picture who is actually getting paid to print this artwork aaaand... oh look at that, now we have an actionable party to an infringement lawsuit.
If GOG were to provide printable covers, they would first need to obtain the proper rights for the boxes, which may involve an increased cost as well as an increased "difficulty factor" in obtaining the games themselves. If they were to provide those covers without those rights, well, lets not think of the legal issues that would cause. Personally, I would rather they focused their time end energy on the games themselves, than getting the rights to box art that only a handful of GOG users are going to be interested in using (in terms of printing their own boxes).
Additionally, there is a slight logistical problem here. I know of no professional print shop capable of printing game boxes that would be willing to print a single copy of a box. They work in lots of 50, 100, 500, 1000 or more, not lots of 1. Printing and assembling a box is much more than just printing on a piece of cardboard. They are actually printed on large assembly line machines that print, cut, fold and glue the box automatically. It is virtually impossible to insert a single print into an assembly line like that.

Here is another good interview.

Good interview too. :)