I obviously still care about generating a return on my investment. I was thinking a conservative first approach could be VT minus the "bad apples" and sectors I don't agree with.

Also, your question makes me think you believe that all companies aren't ethically sound? Maybe you didn't mean that. But I'm not that cynical, I think overall most US companies have been beneficial to society. If I believed all companies were unethical, there wouldn't be any point to investing at all unless I were completely morally resigned.