I can understand if it is against a specific agreement that someone made with a company that they shop for... but I am not sure about the ethical part. It seems that the purpose of mystery shopping is to provide constructive, objective feedback to a company. Once you sign up for a company, you find out very quickly which companies they service.
Since I am new to this, it seems that the hardest part of getting started is knowing who does what... which companies to sign up with, etc. It would be very helpful if there was a way to know who did what type of business... and where.
Some companies... Dairy Queen specifically prints the name of their mystery shopping company at the bottom of their customer receipts. It directs all customers to their MSC to "get paid for their feedback".