I have had a lot of conversations with friends on the ethics of listening to artists who both have gross ideologies (Burzum included, lol) and those who flirt with dangerous or offensive imagery (Death In June, Throbbing Gristle). I believe you can separate the music from the artist. People have always expressed an interest in the more morbid aspects of life. I read somewhere that the most frequently found Neanderthal cave paintings were of giant vulva, penises and animals being slaughtered. If you want to dress like a Nazi to provoke, but you're not a racist person, are you causing the same kind of offense? Maybe going a bit off topic here - I'm aware the current climate demonises anyone who has been revealed to have been a historical shit. In the case of Weinstein etc I'm all for their lives and careers going down the toilet.
Even Joy Division are well known for taking their name from a concentration camp sex-slave ring and they're some of the most revered artists (and one of my favourite bands, personally.)