i think the dynamic of the show is much more chaos v order than good v evil
he who Remains posited that a 'benign' dictator keeping order (and by happenstance, killing trillions) is better that just rolling the dice
he said 'we are all villains here' - and from his ramblings, his considering himself a villain (esp in relation to the other 2) only seems to work bc he knows he's moving Sylvie into position to kill him and unleash chais