If I have the choice between working for Palantir or Facebook, I choose Facebook. If have to choose to between Facebook and Apple I choose Apple. Whatever I choose I will still live extremely comfortably. And yes not all those companies have an equally bad impact on society.
In both of your examples it's fair to say that you (or CS grads in Denmark) probably don't have that kind of leverage, because this is not the Silicon Valley. If you have to choose between working for FB at 150k$/year or public service for a third of that, then yes, choosing ethics has a big negative impacts on your life and it's hard to blame anyone for choosing FB.
They don't have this problem.