In any case, those particular CDs carry the express permission of the publisher (and through them, the authors, knowing Baen) to distribute the CDs as long as it's done as a whole, so there's really not anything ethically shady about it.
That being said, I admit that I do feel some obligation to pay for the e-versions, particularly of books that I
don't have paper copies of, if only to encourage the whole e-book availability thing.