Babylon 5 leaves a lot of people indifferent, despite its merits, because one of its "villains," Londo Mollari isn't sexy or cool. He's antisexy and he's anticool, and he's got the haircut to prove it!

Actually, Mollari is one of the most interesting villains because by his own lights he is basically just a patriot doing what'g gotta be done. These rightwing buzz phrases do in fact justify many, many crimes. His villainy consists in a set of ideas instead of a set of personal traits. Again, that's the sort of thing that happens in real life, where events are not just the mystically magnified products of someone's emotional traumas.
There are television series that imagine wars happen because one person is traumatized and seeks revenge!

Shows like that, that feed infantile fantasies of omnipotence tend to much more popular in certain quarters than something like Babylon 5. Generally, the resolute determination to pretend that great social/governmental processes like wars are just individual decisions spring from a reactionary refusal to examine society. At bottom, it's just as bigoted as someone forthrightly blaming everything bad on original sin. There's no significant difference.
But for a transition from good guy to bad guy, Babylon 5 also offers the Vorlons as a whole. Their noble intentions in messing around with the younger races are inseparable from their desire to reproduce their own images. Then, when this hobby gets serious, and they themselves start perishing, suddenly it's genocidal extermination with planet busting ships! This seems satisfying because it raises the issue of independence, even at the cost of failure, over the safety of dependence. It projects some of our more neurotic resentments against parents onto a safely unreal protagonist.
As for the general notion that people dislike self-pity, Julia Roberts' entire movie career, a very successful one, is predicated on the opposite. Even on this bbs, the popularity of the new BattleStar Galactica, with Starbuck and Gaius Baltar, two characters who wallow in self-pity, shows this isn't true. Of course, Starbuck is ueber-cool, and Baltar is a development of Dr. Zachary Smith, i.e., a comic villain who doesn't quite do any villainy.
(I skipped a lot of the unbearably bad BSG but as I recall, the worst thing Baltar ever did was give a Cylon a nuclear weapon. The funny thing is, he got away with it! Apparently offenses against sexual purity are so unforgivable the slaughter of thousands of innocents are acceptable retribution, a vilely reactionary notion typical of the series.)
Self-pity didn't make Starbuck unacceptable, and incompetence didn't make Baltar unacceptable. Respecting the villains is another way of phrasing the notion that villains are sexy or cool.