While it might seem harmless to download episodes through unofficial means, there are several concerns:

If you cannot subscribe to ZEE5 and need a permanent copy of a specific episode, you could use a screen recorder (like OBS Studio) to record the free version from YouTube. However, this is time-consuming and yields lower quality than a direct legal download.

For a better experience, it is recommended to use the official or Moovi mobile apps, as they typically offer built-in download features for subscribers. Full cast & crew - IMDb