The problem with Palantir is that when you combine their business model with the inherent drive of capitalism for growth at any cost (witness the ethical breaches from Google, Apple, Amazon, Facebook - all already epically successful), you end up with a monster. Especially with Thiel calling the shots.
If you work for the government, there is a theoretical chain of accountability to the public. But if you work for the government, you are working for the largest lever of power and abuse. If you don't work for the government, your only accountability is your shareholders and customers (in Facebook's case advertisers.) However, Facebook's "mission" is defensible insofar as they're able to disentangle themselves from the conflict of interest between their users and customers.
Truthfully today I think both companies have immense moral hazard. But I think Facebook is the one of the two which theoretically could dig itself out of it if they start better aligning their own incentives with the ones society has.