So don't buy the hot dog?
IMO, the only things you can complain about their prices are the tickets, and maybe parking. Tickets cause, well, y'aint getting in without one. Parking is a maybe cause you gotta get there, but there are options. The rest is optional. No one is forced to buy beer or food at a rink, or hats, jerseys, or whatever.
In actuality refusing the hot dog(etc.) sends the message.
Sometimes you just gotta say no. Remember too you're a customer, and when the business provider fails to provide value, you cease doing business. Teams, media, etc., perpetuate the "fan" thing so that you think you're "part of a tribe" or have some "duty" to a piece of laundry. But ultimately, they are a business that is looking to separate you from your money, same as Apple, Amazon, Microsoft or P&G. Why should an NHL team be treated differently than those companies when you are paying the money?