Sportsmanship applies only to your teammates and competitors. Collectively, the league. So if all the players decide that they don't anyone using steroids in their league, fine. It seems like a majority of players are okay with it, though.
Lots of things are unhealthy, and a lot more unhealthy than elevating your testosterone. Used responsibly, anabolic steroids are not that dangerous for adult men (they are not at all safe for minors and women, however).
And, assuming that players all agree to just go ahead and use steroids if they want to, where is the bad example?
"And, assuming that players all agree to just go ahead and use steroids if they want to, where is the bad example?"
Where does it end? Kids in Jr High now think they have to juice up to compete. If everyone in the big leagues (NFL, MLB, NBA, NHL) is juiced, then those coming in will have to be juiced to make it and the kids who have played it staight lose out. It becomes a vicious cycle with no end and bad consequences.