Which sentence sounds more natural?
These are first and foremost ethical, not medical questions.
They are first and foremost ethical, not medical questions.
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The only difference I see between the sentences is proximity, although they are not physical objects. When I use these, it's like the one I'm talking about is near to me, as opposed to using they.
It's also like saying,
These beliefs are the truth.
They are the truth.
When you use these, you can specify the subject, which in this case, beliefs. The second sentence that uses they totally substitutes beliefs.
Both are grammatically correct. These and they are both pronouns.
You are asking if which sentence sounds more natural. It depends upon on the speaker. I would use different gestures with these and they.