I find local to be a good ethical area. Though that does come with either knowing people if you're not around stuff. But Im lucky to live in a low cost metro area that has regularly underground music scene for good listening at the direct benefit of the artist

"there is no such thing as ethical consumption under capitalism"

It's been a known concept in leftist theory for a long while.

Have you seen The Good Place by any chance?

That's the right mentality to have there. Do what you can where you can.

I ran into an amazing character creator and animator recently and loved what I saw. I shared it with some friends and they pointed out the person is a complete CHUD. I now blacklist their stuff, as simple viewership of their media gives demand for it.

If you consider it a binary, sure, perfection is impossible. But I would say trying with real effort qualifies as being an ethical consumer.