Villains, agency, and fair judgement

I've always liked the bad guys. They're often more interesting and bad@$$ than the good guys. They also teach us many important lessons.
A few years ago, My Chemical Romance created an album called Danger Days: The True Lives of the Fabulous Killjoys. The basic premise of the album is that there's this post-apocalyptic world where an evil corporation called Better Living Industries is taking away people's freedom, regulating people's emotions, and all that stuff, and a group of people called Killjoys are fighting against them. In the music video for "Sing," Korse kills all the Killjoys. With the little knowledge I had about the whole story, I was thinking "Korse is a horrible jerk."
This year, MCR broke up, and Gerard Way started to release the comic book series, The True Lives of the Fabulous Killjoys. This series takes place after the music videos, and it gives you a better idea of what Killjoys and B.L.I. are like. At first it seems black-and-white that Killjoys are good and B.L.I. is evil, but then we find out that (SPOILER ALERT) Korse was abused by his father for being too emotional, which gives us the idea that he's probably trying to regulate emotions so that others won't get hurt like he was. But he becomes all violent when people don't do what he wants. However, the whole idea of regulated emotions starts to work against him. (END OF SPOILER)
This can apply to society in so many ways. For one thing, it tells us that there are two types of people: those who want to stop bad things at the cost of others' agency, and those who care about agency, even if it means bad things will happen. For example, many young people will support school uniforms so that people won't get bullied for what they wear, and others believe that freedom of expression is more important and that it's not their fault that they're being bullied. From a more religious perspective, free will seems to be a major concept in my religion (I'm LDS). Satan wanted everyone to go to heaven at the cost of their agency, but it was more important that people would be allowed to make their own decisions.
It also shows us that people are more complex than we like to think they are, and that we shouldn't judge them so harshly. I understand that judgement is a part of human nature (I'm pretty judgmental myself), but harsh judgement can lead to many horrible things. Although a bad past doesn't justify what Korse did, it certainly makes us more sympathetic.
Here's an example that more of you will probably get. Loki (the Marvel character) had a pretty rough past as well. In the movies, (SPOILER ALERT) he was adopted without knowing it, which confused him. In one of the comics I read, he was punished and his brother wasn't, even though they did the same thing. (END OF SPOILER) Like Korse, Loki wanted to take away others' freedom. Like Korse, Loki also did many horrible things, but we are sympathetic towards him because of his past (and because he's hot, but that's not something that he and Korse have in common. Korse is definitely NOT attractive).
And then there's Dally from The Outsiders. He's not really a villain, but he's worth mentioning because we can learn the same lessons from him. He's a criminal, but we can emphasize with him because we know he's more than that.
So... why are we sympathetic towards fictional bad guys, yet we want to seek revenge on the real bad guys (even if they haven't really done anything horrible)? Well, that's probably because the fictional bad guys aren't going to hurt us. While we should defend ourselves and others from evil (if we're too kind to the cruel people, we're being too cruel to the kind people), we should also understand that humans are more complex than we like to think.