I don't know if there are any proven links between counterfeit bags and terrorism, but there are lots and lots of proven links between counterfeit DVDs, shirts, cigarettes, etc., etc., etc. and terrorism. So it's not a stretch to think there might be a nexus with bags as well. But bags generally come from organized crime groups.
With respect to people buying fakes, I often hear things like, "I don't care if I'm hurting a big company like LVMH." The bigger problem IMO is that people don't think about who they are HELPING.
For a million reasons, I would never buy a fake and this is one of them.