Because humans are complex creatures able to have a multitude of emotions at once while also not feeling other emotions at all. Our brains are masters at compartmentalizing. Think of those at the tops of the nazi regime, the elites. They had family members, and would be devastated if their family members died, but they also knew the truth about how many jews they were slaughtering and torturing per day. A great movie example is The Boy In The Striped Pajamas, where a nazi government official overseeing a death camp has so much genuine love for his family, while having no issues overseeing the task of killing mass amounts of jews in the day-to-day.

Villans in the stories we tell are no different. A character, whether good or evil, is only interesting if their emotions are as complex as real humans' are, otherwise they feel flat, like cardboard, or boring and unrealistic. Real humans who have personality disorders where they don't feel emotions tend to learn quickly how to pretend to have them. Isn't that wild?