Recent examples include the largest lumber retailer in the world, Home Depot, which recently ceased selling wood products from endangered forests because of consumer and shareholder activism. There are innumerable other success stories. Screening has different levels of severity depending on your values. Missiles, guns and ammunition would probably fall into a negative category for most people. Fuel and chemicals are more complex and open to argument.
Cigarettes are debatable, for smokers anyway.
However you choose to screen companies limiting financial activity does not mean limited returns. There is sufficient evidence to show otherwise. In 1990, the Domini 400 Social Index was launched including socially screened companies in a similar range of sizes and industries as the unscreened Standard and Poor's 500. This is but one example. No doubt other examples can show the reverse.