Your job is to tend the systems of your employer. Laws do vary by country, but in the United States, any computer equipment purchased by the employer is their property and can be used as they see fit. This is not exactly a wonderful way to look at things, but that's the way it is. That being said...
Your reputation and integrity are the keys to the kingdom. So here you are, having to handle something that, for any employee, is pretty much less-than-tasteful, but you should continue to do with with your reputation and integrity intact. Because when you are guarding all of your employer's trade secrets, processes, knowledge, communications, and even bank balances, integrity is what will allow you to work around these things.
As far as dealing with the unpleasant side of it...yes, it does bother many people. The trick is to remember that you are managing your employer's machines - not yours. You are entrusted with protecting and managing their systems, and while you put your blood, sweat, and tears into making them viable, it's still your employer's equipment at the end of the day.
Another way to look at it - this is a management issue. Your job is to provide services to the company, not manage the employees. If management wants to just enforce rules but not remind their employees of the rules, that's their choice - although it is (admittedly) a detriment to the company and employee morale.