Some questions that need to be answered if one is to justify that protecting dragons is "ethical."
1. Hundreds of serial killers have been released from prison. They WILL kill as many people as they can, and you have the power to stop them. What do you do?
2. A few of the said serial killers have, in fact, reformed. However, before they can gather the others and teach them to be peaceful, their charismatic leader must be killed. You have the power to do so. What do you do?
3. Said serial killers were imprisoned because they were the leaders of a tyrannical government that committed numerous crimes against humanity. Many of these crimes were commited long before any conflict arose: they were not in retaliation of any offense. The current government is the result of a coup that overthrew that government. Are the people who participated in the coup guilty? If so, of what?
Of course, if the argument is that dragons are cool...well, I agree. So what's better? Killing cool stuff in cool ways.
First of all this thread is suspiciously well timed on the OP/Responder, but anyways,
From an ethics point of view,
1) Self defense is justifiable and our legal system keeps people at extreme risk to reoffend in prisons for a reason. If they somehow all broke out any the all went on a killing spree then that is when special response teams come in and would try to either put them back in jail or they will be shot if the situation is critical.
2) Killing is never "good" but if you have a stereotypical I am going to end this world and have zero redeeming features antagonist then your obligated by plot logic and ethics to do something about it.
3) Well actually many of the crimes occurred in response to rebellion from a set of bad proxy leaders chosen, (http://www.imperial-library.info/content/skyrim-dragon-war), the writers really are just placing people into big 3d models. But anyways, it seems unlikely that all of them were at fault but basically all of them died in the process.
From a gameplay point of view,
1) Game was designed for you to go and save the world through said main quest, but you don't technically need to do anything that the game tells you to as your in control, just press ~ and you'll be in even more control
2) It is an open world game so role play however you like, you might even want to try out this short game mod (http://www.moddb.com/mods/the-stanley-parable) its quite interesting and very meta-game/choice/etc...
3) If you want you can just use the console to skip stages, make stuff vanish into thin air, etc.. etc.. (disable, setstage, coc) give yourself shouts all through game breaking cheats but it is your own SP experience