While dire on its surface, my reading of this popular sentiment is not as fatalist as it sounds, and I think offers a lot to consider with regards to your concerns. While there is no PERFECTLY ethical way to ‘consume’, be it culture, media, products, or whatever, there are better ways to consume, and better things to consume. Try your best, to the best that you are financially/emotionally/physically able, to be ethical in making these decisions.
You have a moral compass, you have your knowledge, and you know that things are more complex than they seem. Think a bit about what you’re considering to engage with, and do what feels right. Is this book written by a shithead? Is this album by a good person produced by a shitty person? Is this television show on a service owned by a conglomerate that’s run by a shithead? The questions get more complex, but what you do with the answers is up to you, honestly.
This reasoning process can (and should) be extrapolated to other methods of consumption: how are these pants this cheap? How do they make this cleaning product? Why is this ingredient in so many things? However, while culture is almost always a frivolous expenditure, things like clothes, food, and household supplies are not, so you may not be able to afford to give these answers the weight that they may bear on your conscience.
Remember: there’s no ethical consumption under capitalism. If you need medicine and hate GlaxoSmithKline, or you need nice clothes for an interview but H&M is the only place in your budget, you can’t really afford to give them the finger by not ‘supporting’ them. These things aren’t your fault. You didn’t create the capitalist model into which you were born. But, wherever possible, challenge yourself to find a way to do what you want to do or have what you want to have in a way that aligns with your values.
It’s more complicated than it was when you weren’t asking yourself these questions, but it’s also more fulfilling to engage with them.