As far as it being a moral/ethical concern, I have no more concern for investing in City Creek or central FL real estate or Philly high rises than I do for investing in BYU football. That is to say, whatever moral stigma I may attach to one I'd attach to the other.

But since it's a moral wash, I'm not convinced that the ROI on BYU football is all that great. Yeah, spending may be more likely to correlate to winning more, but that's ultimately a crapshoot. Lots of programs that are worse than BYU spend a lot more money than BYU.