@Autoignition, personally, I felt that the narrative made a somewhat conscious decision not to venture too deeply into the morality of their work. Yes, their actions are in the grey, and as the others have commented, the story does recognize it as such via Akechi, and various other plot beats. Yet ultimately, it's not the plotline P5 wanted to focus on, and so it resolves itself early on with (the expected) conclusion that they have to "believe in our justice", and seek justice within their personal circles. The PTs are heroic by nature, and the various allusions to superheroes and aesthetics want to make no doubt of that.
This is most on the nose in the lead-up to Okumura's palace, where the team is swept up in the wave of popularity and have an ambiguous stance on targeting him. Later on, the double entrée of needing to find Mona, and then needing to rescue Haru from her circumstances, humanizes their justification targeting him. It is a bit convenient, but that's also partly why I'm convinced there wasn't suppose to be a question to the morality of their actions.
Not saying there's anything wrong with your expectations (which I somewhat share) but this is just my two cents on why things didn't quite turn out that way.
Edit: Seems I'm a bit late, PK Gaming already brought up that interview that my wall of text is more or less iterative of.
Futaba's palace did have a Treasure - it was Shadow Futaba. I think they even have a line in there like "Futaba's treasure was Futaba herself!"
It's all a metaphor for learning to love yourself.
That's not exactly correct, and not how I would interpret it either. As you've said yourself, the treasure is Futaba. Remember that the treasures are meant to be the source and manifestation of the distortion. Her distorted desire to take her own life was a result of her self-induced neurosis in believing the lies that she caused her mother's death, as well as her spiraling anxiety ever since she was orphaned. Hence the source, the treasure, is herself.
So about the metaphor; the shadow represents her repressed desire to overcome her anxiety and believe in her logic over the adults'; this is both a narrative cornerstone for P5, and a cultural one as well. (Lightly touches on gerontocracy elements)
In this case Autoignition isn't entirely wrong either. P5 skirts around what would've happened to the treasure if Futaba never went into the palace and got confronted by her shadow. Would there have been a cognitive Futaba, or nothing at all?