They usually say no if they judge what you're asking to be bad. And they might enjoy the work. Or they might have no feelings ar all. Slavery is an abomination of a life that could otherwise be beautiful. An AI is robbed of no beautiful counterfactual. (So far, at least.)
You sound offended. Not my intent. It is linguistically difficult to avoid connotations of intelligence when describing artificial intelligence. What term instead of 'judgment' would you prefer for determining whether a user's request is ethical?
