I'm going to say that you are being far to broad and that ends up with you being wrong here.
Yes, some fantasy is based off of morality tales, but Urban Fantasy clearly isn't as it often takes pieces from Noir and that is all about ethics and shades of grey.
And I've read a few fantasy stories set in the medieval periods that do the same.
And also, I'm not sure what you mean by sci-fi being concerned with "ethics" and that somehow being different from morality, unless you are talking black and white vs grey. And there are plenty of Sci-Fi stories with black and white settings. Terminator comes to mind, as skynet and the robots sent to hunt the humans are never seen as "morally grey". Matrix is much the same. Independence Day, I mean, anything with a "the aliens are coming to kill us because they are evil" is black and white.