As Ethel states, there's a clear copyright statement on all commercial videos. It's illegal to make any copy, even for your own purposes. (However, I assume that you must have attempted to sell your compilation as I fail to see how the police, or Trading Standards, would either know or care about you making a single compilation tape for your own private viewing).
Even recording a TV programme contravenes copyright legislation. There's an exemption made for 'time shift' purposes (i.e. so that you can watch the programme on a single occasion at a time after that of transmission) but retaining a copy of a recorded programme indefinitely (or passing the recording to another person) still breaches copyright law.
Many copyright infringements are only covered by civil law. (i.e. you can be sued but not fined or imprisoned). If the police were it involved, you must have been seeking to profit by breaking the law. Copyright infringement is (quite rightly) taken very seriously by those who hold the copyright. Only this week, an American woman (Jammie Thomas) lost a court action that she could have settled by paying $3000 (about �1500) because she made 24 tracks available for upload through Limewire. She now has a bill for $222,000 (about �110,000). This is to be applauded. Let's hope that the UK courts take a similar firm line with those who breach copyright.
Chris