Shadowheart is selfish first and foremost, which is totally understandable, given her background. However, she isn't bloodthirsty at all: I remember she made an approving remark when I talked the band of tomb robbers out of fight once, by mistake.
It appears that here, Larian follows the long-established cultural myth that thieves generally avoid bloodshed, unless they specialise in it (think assassins).
Wyll is heroic, and he is clearly on the humans' side. So he has no issues murderising surrendering goblins, but if you plan to side with Minthara, he is definitely the worst choice.
Gale is... so self-absorbed that I really struggle to identify his alignment. He does approve of you when you help others, such as tieflings, so he is probably more good, although not too good.
I think it really depends on your definition of evil - is it methodical, purposeful evil, like "Lawful Evil / Neutral Evil" evil, or is it just a murder-hobo style deranged rampage, killing everyone you meet.
