Teaching them the rules of the game and how to work within the confines of the game to help secure a win is not unethical. Teaching them to lose without using all their skill and knowledge of the game is. Is it ethical to sacrifice a pawn to get a check mate? Is it ethical to spike a ball because you are out of time outs? How about running out of bounds to stop a clock? No, it's not. It is knowing the game and using what you know to your advantage.
Problem with coaches - meet coach.
We're not talking chess. We're talking teaching someone to do the right thing. If you can't get that straight, find another hobby.