There's a lot of stuff involving patient secrecy that would be convenient to not worry about. Conglomerating everyone's medical records could result in dramatic gains in knowledge on efficacy of treatment. But it should be possible to do that in a way that respects patient secrecy, and I don't think ethics is the true rejection there.

There are a number of cases where people consider it unethical to use controls. AZT is a famous example, where they stopped the study midway through because AZT was so effective for the experimental group, but then some nasty side effects started showing up- and it was unclear how much was due to the AZT, because there wasn't a control group to compare to anymore.