TBH having had a look at the different stations output, both of you are correct!
But the situation is complicated, and fast changing, hence why its worth getting a license if you can afford it (the stations I work with are licensed to broadcast in the countries they originate from).
In many cases especially with "underground" music genres it is perfectly true the artist, writer and record label are at least initially one and the same, and therefore they can give permission for the broadcast.
I am old enough to remember both punk/indie and rave scenes starting up and how bands went from struggling artists willingly foregoing their royalties to get pirate radio airplay (in some cases you could not even log the broadcast easily even if you wanted to as it was white label unmarked apart from matrix number).Also remember ringing up PPL in the late 90s when working with a community broadcaster, reading off a list of local dance labels to them and being told "never heard of them mate, don't worry about your shows returns, we are only interested in the morning lot playing pop music"
but even "underground" people have a price, and major record deals still exist. Bands and even many EDM productions are done by more than one person and the bandmembers over the years might develop different attitudes to monetizing their music, people form long term relationships and have families - everyone wants to try and squeeze out money in a economic depression.
A punk/alternative friend of mine did some remix of this punk ska track and he had to take it off a sharing site because the band members had actually auctioned off their rights to the music to some random company for cash! It surprised me as much as it did him, especially as these sorts of groups once had different ideas to the music business.
You certainly can, if you are very clued up about your music do exactly what pigpen are doing but it only takes one of your friends to decide to sign up to a label/distributor even if its just to make a few hundred euros to buy a new piece of studio equipment and then they cannot make a agreement to let you broadcast as they have signed away their authority, thats how the business works.
OK in Europe you are unlikely to get feds busting in at your door but you could have to censor your content, even unpick a track from a mix (not easy!), pull whole shows out from playout (like what has happened with Welsh music copyright) or worst case close your station.