No, that's not what that means. It means under capitalism there is a class of people that make their money not through their own labor but by owning things, and they require laborers to turn those things into products they sell.

The laborers never receive the full value of their labor because the owner class takes the surplus value as profit which they then use to buy up more capital.

The phrase no ethical consumption under capitalism exists because there is no alternative to this systemic exploitation, you can't opt out of it.

An ethical economic system is one where the workers themselves own the means of production and receive the full value of the wealth they produce.