The reason that XM and Sirius are harder for pirates is that they're proprietary standards. I don't think you can just go buy the parts and build yourself an XM receiver. I imagine they do some kind of crypto, like the satellite TV folks, to make sure that you don't get your content if you don't pay, but I have no idea if they got it right. I'm confident, at least, that they convinced the RIAA that they got it right.

Digital radio, on the other hand, would be a standard. It (presumably) wouldn't be encrypted, and somebody would quickly make a tuner with a digital S/PDIF output. Still, unless it's being broadcast in MP3 format, then it would need to be transcoded to be useful to file traders. It's easier to just rip high-quality MP3s from a CD.