There is no ethical consumption, as in consuming only from ethical companies. But come on, almost each and every one of us has a company (online and offline) that we're desperately trying to avoid whenever possible.
Reasons for that could be different, but ethical reasons are completely legit ones.
The main reason why I have a personal Nextcloud server is because I don't want to deal with considering pros and cons when choosing where to stash my most valuable data (like cloud service, calendar, contact lists, to-do lists etc).
Sure, it takes me maybe an hour per month to keep it updated, but constantly considering different options would take me even more. Sure, paying for a dedicated server takes a chunk of my monthly income, but it would also add up to pay monthly subscriptions to other bullshit SaaS, because free editions rarely allow a consumer to accomplish most of the things[0]. And as far as the climate change is concerned, my hosting provider is powered by a hydro plant. My hosting provider is also not from a five-eye country (nor does my everyday traffic reach any of those when traveling to my server and back) and is in the EU jurisdictions. I don't really have to worry about NSA that much, as long as I trust my end devices not making those connections with my most sensitive types of data.
With all that said, I do feel like an ethical consumer online. There are some hints of it outside the keyboard as well. Heck, I'm 23 and still haven't learned how to drive because it isn't viable to have an electric car inside of my country, and I prefer public transport over taxis and Uber.
[0] Shoutout to Pocket, the only SaaS I could think of that's completely usable in the free version, and becomes even more usable when paying for a premium.