When talking about these "ethical dilemmas" there's something that people always forget. They guy that makes up the rules is the one that's responsible for the atrocities that make it a dilemma. For example, jman777's one about the North Korean prisoner camp and the men, women and children, if the camp overseer decides to torture the children then he's responsible for it. Although he tries to make it appear like it's your fault that he "has" to torture the children, no matter what you do, he is still responsible for his actions and you are still responsible for yours.
This is a common tactic of the more "advanced" criminals to try to make you feel like you're responsible for their actions, since it just gives them more control over you.
A popular situation that is similar to this is hostage situations. Eg. the criminal says "You give me what I want or I'll have to kill these hostages" and they assume that you're going to feel responsible for them killing the hostages, since you had a choice, right? Wrong! No matter what you decided to do, they are still fully 100% responsible for killing the hostages. There is nothing that is forcing them to kill the hostages, they are choosing to do that all on their own.
But after I say all of that, doesn't mean I'm against playing the game with these criminals. If you keep your head on straight and realize who's responsible for what, you know what the options are and you think you can improve the situation by playing their game, then by all means, go ahead and do it, but don't feel responsible for what a criminal is doing.