I’ve only finished the anime up to season 4, but I don’t think the theme is that “Nazarick is evil and evil skeleton overlord is fun”, but rather “do the ends justify the means Nazarick takes”, given that Ainz wants to create a utopia where all races live in harmony. It’s very interesting writing given how much time and humanity is given to side characters that are eventually destroyed or imperialized by Nazarick.
Only anime I know of where this is actually a thing is Attack on Titan, but I haven’t watched the last season (apparently it deviates from the source material, maybe for this reason, which is why I haven’t).
Yeah, I do like multifaceted morally grey and villainous characters with interesting or even aspiring motives. I highly recommend Hunter X Hunter, The number of characters in that anime that aren’t majorly flawed in one way or another you can count on your fingers. One of the communities favorite characters is a murderous pedo clown that serves as the main characters mentor and drop-in father-figure for a large part of the story. If you watch any single anime and never watch anime again, let it be HxH.