Sephiroth is only gray because of his backstory, once he's in Villain mode there's nothing ambiguous about his intentions. He's completely evil.
The interesting thing about Sephiroth and Ardyn is that, previous to their fall, they weren't much different from any other human being, and that's what makes them relatable, not their superpowers and cruelty once the shit hits the fan.
What I will always find utterly fascinating is that event: the fall. How a relatively normal human being can be twisted into evil incarnate. True, Sephiroth was very efficient as a SOLDIER (which was nothing but a killing machine at the service of a corparation), but from what we could see in CC he still had pretty much the same concerns as his peers, or as any other person would have on his shoes. Ardyn? My goodness, he was practically a saint! I suppose that with Episode Ardyn they stressed that out just so the subsequent stabbing would hurt much more (pun not intended).
So, the interest is not what they do "once" they are evil, but the path they followed before that. We could do the same with many other FF villains, and only the ones from the early games would fall into the "completely and utterly evil without any other reason other than just because". As time went by, they were made more complex as they were given backstories, starting with Kefka, if I remember well.