Not the least bit unethical. The companies all win. AA loses an obligation to redeem its miles, buying them back from DC at what's surely a bargain rate (or more likely offsetting miles that DC would otherwise have to buy). DC wins by giving you half the CO miles that you gave it in AA miles. CO wins by selling miles to DC that you will then use for seats that would have been empty otherwise. You lose, but you seem OK with that. If you need the CO miles and have no better way to get them, do it. The companies do this because it profits them. Nobody forced them to.

And why should it bother AA if you get an award ticket on a competitor instead of with them? Might bother them a bit if you paid for a ticket on another airline, but an award ticket? No problem.

Besides, the way the game works is that they get to make the rules. Then we get to use those rules as advantageously to ourselves as we can.