We can easier look at conclusion people make about banks and stock options. Will people invest money into index fonds and pension fonds if those fonds invest money into companies that produce and sell weapons to abhorred brutal dictators? What about buying stocks from telecommunication producers who operate in abhorred brutal dictatorships and who helps those dictators to control their population?
We should improve society somewhat
https://knowyourmeme.com/memes/we-should-improve-society-som...
That's different. Loads of animals will be unhappy if they see others being given something they're not. We have a lottery which 3 million people (in the tiny Netherlands) are subscribed to only because you win as a street, and you won't want to miss out if your street wins right? Can't see your neighbors have more than you for no good reason!
The feelings of missing out and unfairness are deeply ingrained and stock markets give you stuff. At Mullvad, you buy something instead. If that's a life-essential product you can't otherwise get then the situations would be comparable. There's loads of VPN providers though, maybe not all as good but I would also be considering my options if I were a customer and hear this sort of thing (I'm not a customer of any VPN service). For stock markets and banks, on the other hand: whatcha gonna do, just not have a pension and work until you know roughly how much longer you'll live and that your savings will last till death? Assuming you earn enough to put money to the side in the first place, virtually all options are going to end up being partially invested in things you disagree with. A bank account is a legal requirement here (there's also agreements between the government and some banks to provide basic accounts so you can't be excluded from society like that). I find it much harder to fault people for wanting essentials; the situations are not the same