Difference being, one can choose to not support companies who slaughter innocents. You cannot choose to back your government. (and voting doesn't work as we've seen with the hypocrisy from Obama.)
You can, it's called migration :). Someone here mentioned "vote vs. exit"; both of them are available in either private or government sectors.
That's in principle of course. In practice, migration is hard and not supporting companies doesn't usually work (boycotts don't really hurt companies in any significant ways).