There is no ethical consumption under this system, and there's absolutely no hope for it.
The only thing we can do is set our own little moral lines so our hands feel a little cleaner, but it's absolutely impossible to exist in this society while also caring about everything awful going on. There's just too much of it. If I gave one dime to every cause that should be important to me (based on how I see myself), I would drain my bank account into the deep negatives. You absolutely must prioritize your time, money, and attention to a few specific things that you absolutely can't sleep at night knowing you've supported.
For example, global warming is totally fucked. There's literally no way to not fuck up and strip away most of the planet's biosphere, even if everyone woke up tomorrow and said "Shit, we have to go 0 carbon right now!" and accomplished it before lunchtime. It's too late. We're just fucked. The best case is we're fucked well after I die, but even that's not looking particularly likely. So there's no point in me moderating my purchases around so-called "environmentally friendly" companies, because there's no such thing and, if there were one, it wouldn't matter.
But LGBTQ people (like me) exist right now, and will continue to exist right up until we trigger the greenhouse gas cascade that turns Earth into Venus, and since I know we only have so much time left here, it's very important to me to not support people who want to make sure LGBTQ people suffer as much as possible in the interim. Fortunately, the organizations that hate gay people are about as subtle as people who do CrossFit, so it's easy to see them and not give them any money. Am I still giving money to crypto-facists who keep their mouths shut about it in public? Probably, but at least I'm kind of rewarding the behavior of "shutting the fuck up".
Meanwhile, I financially oppose WotC's bullfuckery only insofar as it affects me, personally. If One D&D weren't a giant tire fire that grows with every UA playtest release, I'd probably suck it up and buy it. But since they're also trying to shoehorn their virtual tabletop with AI DMs as the exclusive method by which people play their game, like some kind of half-assed MMO, I won't. Not because I can be assed to care about AI or anti-consumer practices, but because it's obnoxious to me and not fun to me and costs me money for shit I won't enjoy as much. I simply don't have the energy to care about WotC's happy relationship with the Pinkertons, if for no other reason than literally every major company in the world also pays the Pinkertons to do fucky shit all over the globe, and if I care about one company doing it, I have to care about all the other companies openly doing the same thing, and then I'd have to, like, start making my own soap and stuff. Which I just don't have the energy to do.
What it ultimately comes down to is this: honor is an expensive luxury that the vast majority of us simply cannot afford. Buy what you need to survive, spend the extra on whatever bread and circuses allow you to cope with the impending doom of society, and prioritize your moral focus on only a few things that loom the biggest in your mind, the ones that produce the largest amount of shame and guilt for supporting.
Everything is going to produce some amount of guilt, because it's all fucked. You just have to learn to set a guilt-filter in your brain, so guilt below a certain threshold doesn't register anymore. There's literally nothing to be done about it: Even death can't absolve us of supporting oppression and environmental destruction. After you die, someone's going to give shady religious conmen money from your deceased wallet to dig up a big rock, scribble some words on it, put you in an unnecessary coffin, bury you with heavy diesel equipment, tell lies about a bigot-god over your corpse, and then hire someone for minimum wage (at best; more likely, they'll exploit an ethnic minority from another country to do it for pennies) to mow the grass on top of you for the rest of society's existence. Or the other option, which involves exactly as many shady religious conmen, but switches out the long-term grass-mowing for a short, massive burst of fuel and carbon to turn you into ashes, the button for which is probably also being pressed by an oppressed wage slave making a few nickles an hour.
BUT, there's always the possibility that I'm wrong, and that things aren't eternally and irrevokably fucked forever. As a hedge against that, I do two things: I stay employed and budget my money (so I won't be the guy standing naked in a cornfield waiting for whatever apocalypse or second-coming that doesn't happen, thus making myself well and truly fucked), and I vote in every single election I ever hear about, from the Presidential election to the August special election to replace the town dogcatcher.