When you are winning, is it ethical to not go for a checkmate right away? If you are leading a game, is it ethical to capture your opponent's pieces one by one or go straight for checkmate?
There is no rule or law that says that you have to try and checkmate in as few moves as possible and so there is no ethical requirement either.
In fact, if there are just a few pieces left on the board and you are very short of time it makes a lot of sense to take all the opponent's pieces as quickly as possible and only then worry about how you are going to checkmate.
Otherwise if you run out of time while your opponent still has some material left then you are going to lose on time. If your flag falls after you have taken all their pieces then you still get a draw.