Sanderson's villains do have their own shades of grey, even if it isn't quite as emphasized as in GRRM's books. The villain of the first Mistborn book was genuinely trying to keep the world safe; he was just terrible at it, and he had an evil god whispering in his ear for a thousand years. The Parshendi are first shown as just villains, but later books show their side of the story and they become far more sympathetic.

Yep, there's also a major character who has been pulling strings behind the scenes in about ten different books across various series. How good or bad they are depends on how closely their aims happen to align with the goals of the main protagonists of the story. Although it's really easy to miss; presently this is mostly easter eggs for sharp-eyed readers.

IIRC Sanderson has stated that he's trying to set up a Star Trek type setting. He's developing all these different cultures with different values, and eventually they're going to become space-faring and come into conflict with each other over their different priorities.