Definitely put the situation in the player's hands and let them come up with whether or not they wish to take a course of action based on their morality. The whole taking money from random dressers and such thing comes to mind - I felt bad about it afterwards, but it wasn't really a "part" of the game so to speak. There were no obviously bad consequences to taking the money (the money was probably put there to assist the player anyway), so the only bad consequence in the end was my own conscience which is more than enough, and in fact, preferable to a tangible in-game consequence.
It's been years since I last watched The Pianist, but I can think of two distinct examples of scenes that had very little dialogue but had a huge impact simply by showing and not telling. The first scene that comes to mind is when a group of Nazis go into a family's upper apartment. They give everyone a simple command to stand up. Everyone does except the grandfather who is in a wheelchair. They repeat the command to the grandfather, who can't stand up, he just sits there and nobody else speaks. The Nazis then wheel grandpa to the balcony and throw him over. That was the pretty much the whole scene but it was important. It showed the viewer that the Nazis had supreme control in this place, but not only that, they were incredibly cruel and unreasonable, not to mention thoroughly authoritarian. The second scene that pops out to me is later on in the movie when the main character is standing in a line with a bunch of other people. A Nazi officer comes along and just points to random people saying "you", "you", "you" and those people would step forward and lay face-down on the ground. The Nazi officer then very casually shoots each one in the back of the head that were on the ground, until he got to the last person. The gun was out of ammo, so there is this long pause as the officer very casually reloads the gun (all the while the camera was focused on the guy's face on the ground) and then shoots the man in the back of the head. This scene always stood out to me because it shows (and not tells, as there is almost no dialogue at all except for him pointing out people), once again, the supreme physical domination of the Nazis in that place, and it showed the absolute helplessness of the people they were oppressing. Nobody could fight back, the guy couldn't run for his life because he knew it was hopeless, but more to that, there is also this instinctual glimmer of irrational hope that "it happened to other people, so it can't happen to me".
There is a certain human instinct quality to both of these scenes where people just stand and watch without doing or saying anything, no matter how horrific the scene because deep within our brains we have this thing that tells us that we can't die, horrible things can't happen to us - these things happen to other people, but not me. That is why, throughout all of history, there are so many cases of people just standing by and doing nothing while terrible things are perpetrated upon others. How many times have a row of people been lined up to be executed, and none of them do anything about it? A famous historical incident also illustrates this sort of "group hopelessness", the murder of Kitty Genovese (feel free to google the wiki for it). Basically this woman in the 60's was murdered, and there were something like 38 witnesses who either saw or heard it and nobody called the police because nobody "wanted to get involved" or they thought "someone else would take care of it". As long as it wasn't happening to them, they were relatively numb to the crime.
To shift gears slightly to the motives of most Nazis, there is the ever-famous "I was just following orders". There was a great psychological study, the Milgram Experiment (I highly recommend googling this one), that showed that most people are willing to obey someone who at least appears to be an authority figure, often to the point of inflicting pain and cruelty on other people at their behest. This study pretty much explains the psychology of a good deal of the Nazi guards in places like the ghettos and work camps in WWII. Most of them simply were obeying orders that were handed down to them by leaders who gained power on the back of rampant racism and nationalism.
How all of this could apply to your game... Instead of having NPCs constantly lament on the hopelessness of their situation, they might be a bit more numb to the happenings around them. Someone got dragged out into the street and shot because they didn't pay taxes? Better them than me. That can't happen to me anyway, that only happens to other people. I don't want to get involved or stick my neck out.
That doesn't mean SOME can't lament their situation, but when you think about the real reactions of the majority of people in similar situations in the real world, they don't talk about it. There is just this feeling of "at least it wasn't me". There is always this prevailing sense that "if I do what I am told, everything will be fine" that eventually sinks in to an oppressed population. There are always undercurrents of resistance somewhere, but they are very secretive for obvious reasons, and they are generally small. It is hard to motivate an entire population to a course of action that very well might end up with all of them murdered. Plus, at least the bad things aren't happening to them, so why should they get involved? If they keep their heads down, do what they are told, they get their daily potato and all is well.