There’s a difference between “a legal right” and “it’s not illegal to do”. A legal right is something that is a legally recognized and protected action or activity. You have no “legal right” in this situation because there’s no obligation on Blizzard’s part to provide that content forever. Once the content changes or ceases to exist, you simply no longer have access to it and that’s how it’s intended to be. A legal right to access that content would require that it could be an actionable right.
The problem with your example of “Wol-mart” is that the store is actually called “Wal-mart”, carries all the same stuff that Walmart has carried before, and doesn’t make any attempt to alter the name, appearance, or experience. “Wol-mart” might be in a country that doesn’t respect the laws of most other countries, but that doesn’t change much necessarily. They’re still engaging in illegal behavior, they’re just doing it in a way that keeps them out of the reach of the people who want to do something about it.
You might consider purchasing the game to include the content, but an online game isn’t (and rarely ever has been) a static game. That content changes, and you’re guaranteed no continuation of older content.
It’s also worth noting that, as you pointed out above, you can get banned by Blizzard. This is particularly important, because if they did that, they’ve revoked your license. You would not have a legally valid license to play WoW with. Which would mean that you no longer have any kind of “right” to play the game, since you only ever purchased a license, and that license has been invalidated by your actions.
One thing you fail to mention, however, is that providing the game client is actually copyright infringement on it’s own. For the end user, this is likely to at worst result in a letter from their ISP telling them not to pirate software. Even if you “paid” for the license, it’s a murky legal area. Downloading that client is unlikely to be much of an issue to you, but providing the download can get you a cease and desist.
In the end, the only “legal” aspect of the activity is that there’s no law against playing on or connecting to a private server. Running the server is illegal in most first world countries, pirating the software is illegal (and thus providing it is illegal) as well. The whole thing is just mired in issues legally. Can you download it and connect? Sure, and it’s probably not “illegal” where you live. That doesn’t mean that the overall situation is not legally grey.