I think you've gotten lots of good advice here so far. Sports are a small part of life, and I think that should be part of the lesson. My father asked me to watch some games with him about twenty years ago, and I still look forward to calling him on Sunday evenings to talk about the Bills, even when there isn't much good to discuss. It can be a great bonding experience.
As for the players who don't seem to share your values, I think it can be another learning experience. In the end, most of the guys who break laws end up being punished. They may have more perks and get a few more chances than most people would, but that's real life. Guys with exceptional money or talent tend to get away with more.