In the United States, circumventing anti-copying (or "technical protection measures", as the law itself says) technologies is illegal under section 1201 of the Digital Millennium Copyright Act (in America, this law has been applied to anything even vaguely DRM-like, including areas that traditionally have had nothing to do with copyright). The courts, for what ever reason, have ruled that this particular section of the DMCA is not subject to fair use, therefore, anything that's copy-protected does not come with the legal freedoms of fair use.
I would assume that most other countries have similar laws. Those countries that have fair use most likely don't permit DRM circumvention either, not even for purposes that would otherwise count as fair use.
If you don't like this, please please please write to your various governments about this. Tell them to strengthen fair use by allowing your countries' peoples to make fair use copies of DRM-restricted works. Please do so, your governments need to hear from you. Pretty please?
PS: Or you could simply encourage your governments to nix anti-circumvention laws altogether, although no government in the world will have enough common sense to do so. But, it might be worth a try.