Just because they tell you there's no record, doesn't mean there's no record. Look at it like this. Even France knows how to spy on its own people, so you better be sure some guy who sells you stuff that makes you anonymous knows how to keep records.
I'm 100% sure governments and other agencies would be able to find, not I'm not sure how they do though; just that it must be possible as they are able to snare top hackers, whom really know what they are doing.
But for grey legal areas, such as torrents ect your pretty much safe because of the amount of hoops your making the person tracking you jump through. They will always go after the soft targets.
I've never heard of anyone being caught downloading stuff who has took appropriate steps to maximise their security.
Nice article here for anyone who's interested in safeguarding their privacy - http://torrentfreak.com/vpn-services...dition-130302/