Grabbing pillows from the first class seats as you head back to coach ranks right up there with putting your luggage in row 7 when you are seated in row 27. I'm not of the mindset of removing someone for something as simple as pillow theft, but the reality is first class pax paid for the use of the pillow. Casual, once-a-year fliers shouldn't treat the plane as their personal needs buffet and plan for their trip accordingly - which means bring a small pillow and pack a smaller bag.
Generally speaking I think most frequent fliers know pillows are for first class, however, casual, once-a-year fliers often don't know better and help themselves on their way back to coach. However, this isn't a punishable offense.