I'm going to write this post where I take my time to explain myself, then I'm going to go take a break.
First, there was a sympathetic villain(s) in Thor 2, it's Loki, presumably the villain of Thor 3 or Thor 4. The villainy in this movie was split into villains, as it's been the case for many movies since The Dark Knight pulled it off with Joker and Two-Face. Unfortunately, the formula has not been successfully replicated since: Bane/Talia, Khan/Marcus, Malakith/Loki, etc etc were all far less interesting and had far less synergy than Joker/Two-Face. In my original review, I argued that this was one of the problems in this movie, lack of focus. They're focused on setting up Thor 3 rather than telling the story of Thor 2. I didn't spend $18 on a movie ticket (they cost that much in Australia) to see Act 1 of Thor 3. I wanted to see Acts 1, 2, and 3 of Thor 2.
Malekith does not need to be sympathetic as you point out. But he needs to have motivations that are shared with the audience, and he needs screen time. If he's just a psycho for the sake of being a psycho, show him be a psycho. You're saying that you like him as straight-up evil... well unfortunately he is not straight-up evil. He wants to restore his universe of "the darkness", that is quite noble actually, that is inherently sympathetic, he loves his world, he is loyal to his world, and he wants to bring it back, how is that unsympathetic? However, we don't know his world. Therefore, as it is, he just just a pointless character who exists only because the plot demands that there be someone for Thor and Jane to defeat.
Someone pointed out that Malekith cannot be explored because the darkness is by definition unexplorable. If it is true that the writers lack the creativity to write Malekith, then they should have written another villain, I'm sure that dozens of villains are available. Further, there are other options to showing "the darkness". They could have shown him rejecting this world, hating it for whatever reason. They showed nothing, nothing that made sense. He had a spaceship in an asteroid belt that makes no sense, because that would not last 5,000 years. They showed his spaceship, his one remaining asset, attack the capital of Asgard, which again makes no sense because he wouldn't make a suicide assault in that situation, and Asgard should easily defeat him. It's like if a unit of Nazis, the last remaining Nazis of a defeated army, walked out of a time machine and took on Washington DC. It's not going to work.
Nothing adds up. Malekith is just a vessel for the plot. A weak villain would then be OK in some situations: if you decide the villain is not a priority, and decide to focus on other priorities. The first IM movie is a good example: Iron Monger was a weak villain who had no motivation other than power. However, there was a payoff in that they focused on building up Tony Stark and Iron Man instead. In this case, the weakness of Malekith -- his lack of screen time -- was given to offensive sidekicks like Erik Selvig, to the guy on Earth who wants to date Jane, and to Loki, the villain of Thor 3. Therefore, nothing is gained by making Malekith weak. Therefore, the weakness of the villain in Thor 2 is a weakness of the film since it is not compensated by strength elsewhere.