Is Linear Regression Unethical?

Any technology/math/science can be used to do good or evil. For example, people can use calculus to build bridges, grow more food, or optimize an industrial-scale chemical reaction. Or people can use calculus to figure out how to optimally flow people through a concentration camp (not sure if this actually happened, but you get the idea).

In situations concerning the lives of others, it's wrong to use statistics to decide their lives for them.

The right thing to do? Show them the statistics. Help them understand, if they ask. Leave them be to make their own choices: if they don't know enough to decide, they do know enough to choose for themselves whom they will seek advice from.

Do that and there's no ethical problem whatever.

(Note: our society has been going further and further way from this ethical standard over the past century, with disastrous consequences.)