Not necessarily. If the owner of the copyright says that it is wrong to photocopy, it's wrong to photocopy that music. If the person who owns the copyright says that you can make copies under certain conditions, then it is not wrong nor illegal. There is nothing in the United State Copyright Act that explicitly says that it is illegal to make copies of a piece of paper that has music printed on it. Publishers instruct you not to make copies because they own the copyright on the pieces they publish, and as the owner, they can tell anyone not to make copies. That's their right, their copy-right. And the owner can disallow you from performing their work in public or record the work for whatever reason they might have. And if you infringe on the rights of a copyright holder, there are remedies for the copyright owners, and there can be repercussions. Therefore, obey copyright laws and the wishes of copyright owners.