I do. And it is a personal moral quandary for me that I don't take likely. Allow me to explain.
Much like responsibly sourced clothing, hybrid cars, organic foods and other things that are objectively better for the world than their regular counterparts, it costs more money to do what you feel is right. Voting with your wallet is a great theory but far more expensive in practice. I literally couldn't afford to do the objectively right thing and survive, and I make a decent middle class living. So, you do have to pick your battles with these things.
Amazon has become so big in part because not only were you able to get things quickly, but usually cheaper as well. The best example I can think of off the top of my head: the hair product I use to tame my gorgeous locks costs $20 at the Walgreens right next door to my office. It is $10.50 on Amazon. I save money that isn't expendable by using them.
What's crazy about Amazon is that you cannot opt-out of Amazon. Read this article, seriously:
https://gizmodo.com/i-tried-to-block-amazon-from-my-life-it-was-impossible-1830565336
tl,dr: So much of the internet we use is hosted on AWS. (To my knowledge, AWS is their biggest cash cow, but I can't confirm that).
That all said, while I use Amazon (Technically everyone with an internet connection does), still doesn't mean that I think they shouldn't pay taxes or get subsidies to build a headquarters.
It absolutely doesn't matter, in the long run, to Amazon. Never said it would.