Disclaimer: I've only read your quotes and I am not a lawyer. Copyright is not a law about having a copy. It's a law about making a copy. A copy is neither legal nor illegal. Copying may infringe copyright or it may not.

Generally speaking, unless you have permission from the copyright holder (or the copyright has expired), you may not make a copy of something. Again, generally speaking, if you do not make a copy of something, then you can not infringe copyright (although, you might be liable for conspiracy or other similar things so your action may still be illegal).

The provision for private copying complicates things a little bit, but not that much. Usually private copying allows you to make a limited number of copies of things that you own, as long as it is for private use. It does not allow you to make a copy of something that you don't own. So you can't borrow it from the friend or a library and make a copy without infringing copyright.

(Quick side note since there is some discussion about Canadian copyright law: Historically there has been a levy for recorded musical performances which allows Canadians to make copies for private use. In the past you did not have to own the copy in order to make your own copy! This is a completely different issue than what I'm talking about. It only applies to recordings of musical performances, so it doesn't apply to games. I moved away from Canada a long time ago, so I've lost track of what's going on with the levy. Most misunderstood copyright law ever, I think...)

It doesn't matter if you own a copy of X. You can not make a copy of your friend's copy of X. They can not make a copy of X and give it to you. Both of those actions are infringement on copyright. Downloading off the internet doesn't change anything at all. The only grey area is which action is considered "copying" from the perspective of copyright infringement: uploading, downloading or both. My understanding is that in most countries both actions are considered "copying".

The end result is that whether or not you own a copy of a ROM, it is still infringement to download a copy from somewhere else. It may not be infringement on your part to buy or be given a physical copy. If that copy was made in an infringing way, the person who made the copy would be liable, not you. However, like I said, consipiracy, etc can still apply to you if you are knowingly entering into these kinds of arrangements.

What people usually get confused about is that if someone comes to your house and says, "You have infringed copyright" and points to your copy of the ROM, the copy itself isn't really evidence that you infringed the copyright. They would have to show that you made a copy of a different ROM (which may or may not be difficult).

Long story short --

ThatGeoGuy: technically correct since they didn't say "it's legal to download the copy from the internet". But basically misleading as hell because how did you get the copy without infringing copyright?

Nintendo: In most countries they are correct and not misleading at all. You may not download a copy from the internet unless they give permission. Also you may not play ROMs that are under copyright unless you have a license because some people have successfully argued that loading a game (or any data) into a computer is "making a copy". This latter argument may not stand up in some countries, but I wouldn't really want to be the landmark case that tests the law where you live...

Hope that makes things more clear.