Not all media has to have the protagonist or player character be a good person.

Of course it depends on how it's portrayed, if for example American Psycho actually was written the way a lot of idiots seem to think it was, glorifying Patrick Bateman's actions and showing him as "cool", that'd be a different story from how it actually exists. In that case the book would be significantly more problematic. Considering your Anno 1800 example, I am unfamiliar with the game, so I can not tell you how things are portrayed there, but overall you definitely need to see the nuance between showing someone doing a bad thing and actually promoting said bad thing.

Also it's totally fine if that's not for you and you prefer media with a heroic protagonist, everyone has their own tastes, but

Both celebrate industrialization and the exploitation of the natural world

is blatantly false