I'm not sure I'd agree with this as a generalization. Tolkienesque fantasy is a pretty large subgenre, but outside of it I don't think fantasy is all that ethically unified.
Even within the set of stories that invoke The Chosen One as a device, the implications can vary quite a lot. Where on the one hand you have stories like the series set in the Tortall universe, which feature classic Chosen By The Gods characters who're destined for greatness, you can also get works like the Keys to the Kingdom series, which features a Chosen One who is very explicitly chosen simply because he happened to be in the wrong place at the wrong time. The central moral conflict isn't the righteous elect versus the depraved reprobates, but adaptiveness and consideration versus a mechanical and inconsiderate bureaucracy (embodied in a population of beings of astronomical age which are nigh incapable of adapting their intellects to tasks beyond the narrow scope for which they were created.)
Oh, the direct implications do vary quite a bit. But modern fantasy is so dominated by a particular cluster of conventions -- Tolkein's too narrow, but you wouldn't be too far wrong if you called it the set of plots encompassed by Tolkein, Lewis, Perrault, and the Arthurian folktales -- that even when it doesn't crib from their ethics, it's still about their ethics.
Recently, for example, I read Glen Cook's Black Company books, one of the first settings to use people from the "evil" side of a Tolkeinesque grand conflict as viewpoint characters. ...
The title should make things clear enough, so let's start with my description of the target, rationalist fiction: fiction that tries to teach the audience rationalist cognitive skills by having characters model those skills for the reader.
So for example, Luminosity is to a large extent about the questions "What do I want?, What do I have?, and How can I best use the latter to get the former?" Oh, and using empiricism on magic.
Another example is Harry Potter and the Methods of Rationality, which goes more in-depth about the laundry list of human biases. In fact, many of the more iconic moments (measured by what I remember and what other people like to copy) are about biases to avoid, rather than about modeling good behavior.
This thread is about ideas, from general to specific, for rationalist fiction. I'll give some obvious examples.
General idea: having a rational character encountering magic or amazing technology is a great chance to showcase the power of empiricism. (Has anyone gotten on this one yet? :3 )
Story idea: Okay, so we take the Dresden Files universe, and our rational protagonist is some smart kid who just started a summer job as an assistant radio technician or something. It turns out he's got one in a hundred magical talent, enough to cut off his budding career, he manages to find the magic community, figures out just enough, embarks on heroic quest to run a magitech radio station. (Okay, this last bit isn't obvious - for one, more character development would probably have him wanting something else. For another, the obvious thing is to take over the world if Luminosity and HPMOR are anything to go by.)
Specific idea: A character could model the skill of testing stuff by testing stuff. When characters are performing a big search, have someone actually stop to think about false positives, or more generally "how could things be going wrong, and how can I prevent that?", and have it actually be a false positive once.
But really, there's an explosion of possibilities out there to explore, and I feel like we have "Rationalist meets magic. Rationalist does science to magic. Rationalist kicks butt with magic" fairly well-covered. We have all these different biases categorized, with corresponding right ways to do things, and there are plenty of good behaviors we can try to teach an audience without the empiricism-fodder and high stakes that is a fantasy setting. Or even if you do a Dresden Files fic, you could ignore the empricism stuff and just, like, pick a habit from Anna's checklist and write a short story :D. Here's an idea I quite fancy, I'll save everything else for comments:
General idea: Giving people the benefit of the doubt and managing to lose arguments when they need to be lost is the closest thing to a rationalist superpower I have. Can I work that into a story somehow?
Story ideas: A James Herriot sort of thing, where the protagonist has their daily life (Maybe veterinarian, or materials scientist, or line cook, or model rocket hobbyist), and relatably goes about it, occasionally giving people the benefit of the doubt and losing arguments, and sometimes using other rationalist skills, and usually ending up on the right side of things in the end. At this point it might be too subtle to actually teach the audience, one solution to this would be a designated person in-story to periodically notice how awesome the protagonist is.