I say no, it's not wrong. Some people say you should enjoy it in a way that doesn't give the artist royalties, but personally, I don't think it's that significant in the grand scheme of things. In fact, if we really wanna get into it, I think it's verging on parasocial to only consume art from people you wholeheartedly agree with and support. Sometimes talented people say and do bad things, or behave in unacceptable ways, or, in milder cases, have politics or ethics you disagree with. You should be aware of this possibility for any artist whose work you enjoy.

tl;dr Just listen to the music. Nobody important cares what you do.