There is no such thing as a legal or illegal source, only legal or illegal uses.

If the use was legal, then it doesn't matter where you got the material from. Similary if you got the material via more conventional means it would still be copyright infringement if you used it in an illegal way.

> Again if I download the entire works of HBO tv shows, then make a "transformative" version on my iphone, how can that be considered fair use?

That wouldn't be considered transformative. In this context "transformative" means you transformed it into something with a different purpose than the original.

However if you for example made a video essay for youtube talking about the themes (or whatever) of the tv show including clips from it, that would be transformative and probably fine.