> There is no ethical consumption under capitalism, you and I know that.
Why did you include the qualifier "under capitalism"? Is it ethical to be supporting Mao or Stalin rather than Rockefeller?
> The other major chain is a consumer’s cooperative, which is owned by the members and has no stock dividend or major stock ownership.
That's great, now how does it get you out of the problem? Not only do you have all the other members profiting from your consumption and by the numbers some of them will be undesirable, the coop itself is still part of the system. When they take out a loan to buy the building or pay rent to a landlord, the money goes to the bank/landlord. The coop has to pay the market price for the space in the city with the crooked zoning board, driving up profits for the real estate speculators paying them off. When the coop sells you a box of Cheerios, the profits still go to Nestlé, which has been involved in scandals on everything from baby formula to environmental pollution to labor practices. The other major companies have had their own scandals and the minor brands are often the same product in a different box.
And you're missing the most fundamental part of the problem: You don't actually know these people. That shareholder of the other grocery chain, were they convicted of insider trading because they did it, or because the prosecutor filed a charge they couldn't prove and then had to save face by offering a deal to pay a fine less than the legal expenses would be to vindicate themselves in court? The anti-LGBTQ movements, was it a billion dollars to a warlord murdering gay people, or a thousand dollars to a PAC that thinks there might be a reason women's sports exists separately from men's? These things are at least a difference in degree, and that's what matters when you're choosing between alternatives that are all less than perfectly pristine. Moreover, you would need to know not just all of these specific details about them, but all of these specific details about everyone else, before you could determine who is actually better on balance. Is that guy better or worse than Nestlé? When you go to the coop, do you know for every product which company makes it, and who they do business with? Nobody can hold all of that in their head and much of it isn't even public information.
And then we're back to the actual problem. Who is telling you who to hate? When nobody is perfect, anybody can be made into the villain just by selectively highlighting or exaggerating their flaws and ignoring the ones in the alternative.