Free-to-use software or commercial software, why care?
Do you have a computer or phone? Do you run a softwares on it? Hopefully you do, but have you ever wondered how the software you use actually came to be made? Well, it is people who develop those softwares and are called Softwares Developers.
Anyway, developing a software is not something that they sit down for some two hours or a day and then it is finished. Software developers have to sit down and crack their head through hundreds to million lines of computer code to get the job done. But it is not just the lines of code it takes to build the software, but how long it takes to build one. It can take the developers months to years, depending on how large the projects is. The number of developers who develop softwares can range from one man to thousands, depending on the size of the projects and how many years the developer(s) is/are willing to spend on a single software. Softwares like computer Operating Systems (Windows, Android, iOS, elementary OS) take years to get close to a state where it is usable, even though thousands of developers have worked on it. The obvious thing is, no one will likely work on a software for months to years, full time or par-time without getting paid. Fortunately, some people do but that is a subject to be discussed later.
Usually, the developers will have to be paid by whoever is going to take ownership of the software. Let's say you spend about 1.5 million US Dollars to develop a software. Will you give it for free or you will sell and get profit?
Well as it appears not everyone give such an investment for free. Therefore, they license their softwares such that you will have to pay to use. Such softwares are commonly referred to as Commercial Softwares and are mostly proprietary (closed source). This implies any one or group people who will want to who use that softwares must pay (or whatever they owner says) otherwise .... hmm! Users must therefore purchase a license or product key or a dongle (a product key in the form of a USB drive) to use such softwares.
But there are other groups of software which you are not required to pay before using. It does not mean they are low quality, just that the owner or funders or developers decided to give it for free. Those may be either open source, libre (free) software, etc. — new terms are coined everyday.
Now, have you bothered to know whether the software you use: operating system, office suite, music player, phone apps, internet browser, game, etc. is free to use? If it is not and you have not paid, then .... hmm ... you may be breaking the law. You may think that the owners do not know, but do you possibly believe they made that software without considering the possibility that someone might try to abuse their rights?
"What is the potential problem in using a software illegally?"
By using a software illegally, you are breaking the law which involves several penalties — from imprisonment to a huge fine. You really do not want to find yourself in such a situation. This is why you need to check whether you are using a free-to-use software or commercial.