If you buy ETFs, you basically hold some stocks you don't want.

For example, stock from war profiteering companies (lockheed, raytheon).

Note that investing in war profiteers is a proven way to build wealth. I just don't want to do that.

This argument not only applies to evil companies, but also dumb ones. For example, I have no interest in investing in IBM or Oracle even those both of those are also money makers.