Well, the license for the font you purchased most likely gives you the right to use the font on a certain number of output devices (printers).
The European copyright normally allows people to perform software modifications to assure interoperability with other software components. In Europe, the contractual provisions may not limit this right. AFAIR, in Adobe's EULAs, if you're in the U.S., it says "reverse engineering prohibited" while in the EU, it says "reverse engineering prohibited except where allowed by law", or something like that 😉
This should give you the right to convert the fonts prior to downloading to the system. After all, if you simply print a document from, say, Word, the the font *will* be converted to Type 1 anyway (by the printer driver, as part of the printing process). And if you're printing to a PCL printer, the font must be converted by the printer driver to a PCL compatible format as well. The only difference between what happens in the printer driver and what you're trying to do is that the printer driver does it implicitly and you would do it explicitly. But then, theoretically, nothing stops you from writing a custom printer driver 🙂
Since I am not a lawyer, don't take my advice in any official manner. My presumption and understanding so far is that in the case you're describing, you should be on the safe side. The details may differ depending on where you obtained the fonts (in the EU or USA), from which foundry they come etc. But I think this problem is of academic matter anyway. I couldn't imagine any lawyer pestering you because you downloaded a font that you legally own to a printer that you own.
Regards,
Adam