I really think there are not many ethical issues here. I can see why the Velominati rules say you should not wear a shirt (like a champion's shirt) unless you have won it, but on the other hand, these are often sponsored. At the Giro last year there was a whole lot of local cyclists wearing the blue sprint jersey acting as ambassadors and being sponsored by the Mediolanum Bank to do so. (And that is a really nice shirt, so I bought one.) So it is not as simple as that.
The whole financial structure of cycle racing -at pro level at least - is about advertising. You could argue that by buying and wearing a sponsored shirt you are helping to advertise a product and rewarding the sponsors who make pro-cycling possible. I am OK with that. On the other hand, I have a personal taste problem with gambling. I hate the idea of money for nothing, and feel the whole gambling business does more harm in society than good. My personal moral choice would reject a shirt that advertised gambling. Doubtless there are people with similar moral objections to (say) booze adverts on shirts.
Cycling is colourful and has a rich diversity in the sponsors it attracts. It unites nations and is environmentally friendly. Wear a shirt you like and wear a variety of shirts. Wear them out of respect for what they mean. Wear them because they are cycling shirts. That is the biggest thing they stand for. Cycling.