The question of whether or not the arts make you a good person has much more to do with the viewers/listeners/readers than with many of the artists themselves. Yes, many of the artists themselves are a bit out there. Does that mean they're not good people? No. They are often "out there" because they are on the cutting edge, they are rebels, they are challenging the world. Those people are never understood as being good, because good people all conform. Non-conformists are never good people by societal standards, but they are the ones who make the world better precisely because they are the rebels. You're judging the changers of morality, etc. by the standards of, well, standard morality. By such standards, the artists will always come up short.
To say that the value of art is that it has no value is a contradiction. Art is about beauty (even when it's not beautiful--a reaction against something is still about it), and beauty is the value of values. Art opens up our minds and complexifies our minds and makes us open to other ways of thinking, other people, other cultures, etc. Insofar as we become more moral the more people we include, the arts unquestionably make us more moral. And it is often less from the content of the art per se than the complexity and cognitive challenges the work has and creates.
Art has its origins in religion and thus in strengthing social bonds. Again, that means the arts make us more moral. The degree to which art both binds us and challenges us, it not only reinforces morality, it creates more moral systems as well. It makes us all better people overall.
We have a notion that there ought to be art for art's sake. That's an entirely modern notion that's not shared by anyone outside Western culture--and only the most recent Western culture. While the idea has its origins in Kant, it became more and more true as we approached and entered the 20th century. In doing so, it ended up creating artistic knowledge (in the same way that scientists create scientific knowledge). But such knowledge is almost exclusively communicated from artist to artist. All too often, it has ceased to speak to people, to move them, to make them truly feel something, to relate to it. That is a failure of art for art's sake. I want an art that moves people, that makes them weep or stand in awe or be overwhelmed by the sheer beauty of it, that makes them think, that challenges their world view, and which transforms them in ways they could never imagine--in other words, the last kind of art I would ever want would be the kind of postmodern didactic art that dominates the art world now. None of it has that effect. And that is a failure of the works' creators.
If you go in expecting the artwork to make you a better person, to make you more just, then you will fail to have that experience. If you go in expecting the artwork to be an experience of beauty, only then will it make you a better person, make you more just.
