I'm genuinely curious if you've participated in collegiate above sports - or at maybe even High School level. I would be very surprised if someone who played or participated seriously in sports said they didn't take away lessons about leadership and decision making.
That's a new one for me today.
There are, though, lots of penalties in hockey that are about not hurting or maiming (or even killing) people, and those sorts of penalties are very much not rewarded or encouraged by coaches or players.
For example while a hockey game is a 'game' what about a person making a bet on that game that now loses a bet because of the penalty actions? Or a team loses that would have won because of said penalty and does not go to the world championship. So yea, saying there is no consequences is like rejecting the premise of causality as the game doesn't live in a closed system.
What if they lost the bet because they missed a goal because they slipped on the ice? What if they missed the goal because they blocked it? Taking a strategic penalty isn't _cheating_, it's acting within the rules of the game. The rules are _if_ you take such an action, _then_ the following consequence occurs.
It's sort of dependent on the game and the penalty, though, what the norms are. In soccer, basketball, hockey and football, strategic fouls/penalties happen all the time to prevent scoring opportunities -- holding, etc. That's not considered cheating, it's just part of the game, you trade a sure goal for a penalty.
There _are_ some actions that are considered cheating though -- think inflategate in the NFL, or stealing signs with cameras in baseball. Stuff that isn't generally caught and penalized in the game -- that's the kind of thing that most players won't do, even at the top level.