Moral ambiguity is a given in Borderlands 2. Vault Hunters come to Pandora to kill people and take their stuff while massacring the local wildlife. They will kill anyone for anyone with an exclamation point … which is pretty much every adventurer, even if they have good reason not to. This is acceptable because (1) you don’t care and (2) the people you’re shooting in the face are even worse, and Handsome Jack calls you constantly to remind you of this.
“Morally ambivalent” comes from characters occasionally stopping to wonder whether they are bad people and should they care about it. Claptrap gives you the first one of those for a few seconds early on. When [spoiler] has a cult in her honor, she spends the entire quest line vacillating about the acceptability of it, flipping between “flattered” and “creeped out,” and saying, “I am a bad person.”
The setting is insufficiently serious to have moral substance. Your archenemy calls you up to talk about Butt Stallion, the horse he named in your honor. It’s dead baby humor all the way down. Zer0 is taking this himself way too seriously. The Mechromancer, however, seems more in tune with the setting, shooting people in the face while shouting, “n00b!”