Do you expect to root for the character in this series?
We are now used to morally "grey" characters in shows to give them depth, and I generally like that, but I wonder if I wouldn't be more interested in a "love to hate him" dynamic to the Penguin. That the engaging aspect of the story is that the villain irresistibly takes advantage of the "perfect storm" to rise higher and higher. Kind of like Scarface actually, even if the reference is very overused...
Of course, I don't know anything about the series, I'm just wondering.