Morally/ethically: They shouldn't.

Practically: Because that is the way the world actually works. If you've got a big power like Russia, with a leader that is willing to use that power, then your choices have consequences. You'd better think about those consequences when you're making your choices.

[Edit: If you're a neighbor to a big power like Russia, then your choices have consequences. The point was not that Russia's choices have consequences, but that Ukraine's do.)

Because that is political reality.

Do you see any armies marching to protect Ukraine's territorial integrity? Russia isn't a small state that can be easily threatened, and nobody in the West has the stomach for a real war. I bet Russia could take all of Ukraine with no response beyond a boycott and some air-strikes.

P.S. The US has done far worse things than what Russia is currently doing in order to keep South America and the Caribbean within their sphere of influence. Small neighbours of great powers seldom get to exercise real independence.

How does the US doing bad things justify Russia doing bad things to a territory independent of both? That makes no sense at all. And the fact that Russia can get away with it does not ethically absolve their actions.

If we followed your ideas, the Baltic states would never have broken away from Russia. That actually worked out quite well for them.

It doesn't justify it, however it explains it.