There is a sort of moral injury when your data is used to create or improve oppressive systems whose ethics you strongly disagree with. I wrote about it before in context of personal data being used for ML training. And I think there’s a lot more to say.
In the pre-surveillance capitalism era, you just did not have to worry about if playing a Pokémon game on your GameBoy was actually supporting the development of deadly military tech
psychologically, I don’t think it’s good you now absolutely do have to worry about this with most any tech device.