The easy solution to this dilemma, if you’re in an established Torah community with easy access to such products, is to be mekabel on yourself the standard of cholov yisroel. Honey buns and other gas station food, including entemans, are almost always cholov stam.
There’s definitely unhealthy food that’s pareve or cholov yisroel, but the really egregious stuff usually isn’t.
That being said, hashgachos are not there to impose their will – even if it’s morally correct – on others.
If they were, they wouldn’t give a hecsher on cholov stam, because none of the rabbonim directly involved in the OU or chaf k eat cholov stam, and would tell you it’s better not to eat it.
But they certify it because it’s kosher, and because there are places where cholov yisroel is not readily available; in such places, i too would eat cholov stam.
Any food can be eaten once here and there, and it won’t be necessarily unhealthy. Any food can also be eaten to an excess, whereby it is unhealthy. Some foods are only acceptable to eat on special occasions; if someone ate such a cake or other food with similar ingredients only once a month, they wouldn’t gain any weight from it. It’s only from repeated intake, or as part of a generally unhealthy diet. That sort of thing is not even a question of ethics in terms of the hashgacha’s perspective.
So to summarize:
Be mekabel cholov yisroel; it’ll help with temptation.
Hashgochas are not in the business of telling people what to do and what to eat, and even if they were, occasionally eating egregiously unhealthy food will not harm a person.
Given the choice between something of questio