We need to teach our students that the employment they take doesn't exist in a vacuum. Your choice of employee can impact not only yourself but the wider world. There's more to life than intellectual satisfaction.
However, this differs from universities teaching students which business areas are more moral to work in than others. Who would have the authority to decide which businesses are more ethical? Some argue that working in the defense industry is the least ethical career choice, while others claim it would be immoral not to support a country's right to purchase weapons for self-defense. These judgments are often subjective and could be heavily influenced by individual teachers' biases.
When I taught design I ended one of my courses with a lecture and discussion on ethics, and I'd like to think I was pretty even-handed. One common issue that most young designers encounter is being asked to implement dark patterns that improve the company's profits at the expense of the end-user's well-being. The goal of that lecture was not to tell students what is right and what is wrong but to get them to think critically about the effects of their decisions on end-users, customers, society, and the planet. But those answers are different for everyone, for example in my case I was more ethically comfortable working on US military projects than projects involving advertising, social media, gambling, or other forms of psychological manipulation.