I'm not entirely sure I agree with you when you say "we don't like [moral ambiguity] in games".
I'd argue the problem is more moral ambiguity is difficult to write in games. It is hard to create characters and situations that are both morally ambiguous and rewarding to play, but when it's done right it can be extremely effective. The problem is it's extremely easy for a writer or game designer to take the easy way out and just state "this man is bad" versus "this man is driven by a series of complex emotions and decisions".
For example, Deus Ex is pretty much in every single Top 10 Games list ever made, and that's a game which takes great pains to make almost every character morally ambiguous. Everyone you're up against will have some plausible logic behind their actions, and you're frequently chastised and praised for your violence or passivity as a player by NPCs. And it's undeniable that players responded extremely positively to that game.
People *are* drawn to ambiguous characters for the simple reason that they reflect ourselves: nobody is perfect, after all. I'm not saying every game should offer you differing ethical choices and perspective (hey, sometimes its fun to just gun down Nazis without worrying about the consequences of your actions), but morally ambiguous characters *can* be enjoyable to watch (hey, The Sopranos and The Wire were based around that entire premise), and to play.