You're working for an organization that's broken. Perhaps someone can fix their legal and ethical problems, but fixing that is not data science. There's nothing wrong with letting people higher up know, so they can perhaps resolve the issues. But remember, it takes a long time to turn a big ship. if there's already a culture of willfully avoiding ethics and the law, thats a long long process. Do you want to spend your valuable time fighting that fight, or doing good work?
I'd start looking for a new place right now.