I work in academia doing ML research, and from an ethical standpoint I think it is one of the best places to be. Still there are ethical issues to consider. For me, thankfully I do not do any controversial research. I sometimes wonder, if I am wasting public money and burning energy pursuing certain research directions, but that is just about it.

On a more personal level, I sometimes wonder if I am wasting away my potential to earn $$$ by pursuing a career in academia. Currently I have no family, but in the future, if I do, then I would feel an obligation to provide for them, in all ways, including financially.