Heh well most sets could be described as inappropriate if you try hard enough.

Just don't take any of this seriously.
Any pirate set = bad example for children, pirates are criminals.
Playmobil hospital only has smiling patients, could give the impression they are on drugs.
Playmobil police force has guns, they could be used to shoot the unarmed criminals instead of arresting them.
Playmobil construction workers lack any female clickies, feminist organisations might not agree with this.
Playmobil circus and zoo show its alright to have animals in captivity, PETA might not like this.
Some playmobil vikings have fur coats or capes, again PETA might not like this.
The gold miner's set has a black clicky, could be implied as forced labour.
Ghosts, ghost pirates, dragons and other unnatural creatures could be seen as inappropriate to religious groups.
Christmas displays depict baby Jesus, could also be seen as inappropriate by christian groups to depict Jesus as a toy.
Of course this is just examples, but in this crazy world I can actually see it happening that there could be people out there who actually think like that.