But if you are led by the Spirit, you are not under the Law
Exactly. It's like driving at a sane speed, not because there is a law on speed limits, but because you recognize that it's better to drive in a safe manner. Not that you won't get hammered if you get caught driving 40 over.
This reminds me too, of what freedom is and it's association with sin. The righteous man is the freest man there is. None of the laws apply to them. And I think it's pretty obvious that the righteous don't go around breaking the laws and that the laws still exist. You can take that on a civic level or a spiritual level.
(Of course, no one alive is totally righteous or free. But the more righteous one is, the more free they are.)
