What then is the challenge for an evil protagonist, what will be his goal? World domination? Vengence? Optimizing body count numbers for his diary? Playing evil doesn't appeal to me, but I'll try not to be judgemental and instead ask the question: What appeals to you about playing an evil character? Hoping for some good answers

Actually, BG3 may be the first time where I play a character that turns to evil. Not the first one, but maybe the second one.
In most games, I feel that being evil is absolutely pointless. That includes our old classics BG1 and BG2. I mean, why do real people do evil? To gain power, money, advantages, mates etc...right? In most games, you won't have any advantage in that regard by being evil. Or because they're fanatics. I can't play that mindset. Or because they're psychopaths. I have no desire to play that even if I could - which I don't know.
But in BG3, I might start down the path of evil because it gets me mind powers. Illithid mind powers, yep, I can easily imagine a character who'd grab this opportunity by the horns no matter the cost to anyone else. They'd just be careful not to lose themselves in the process. After all, what are those powers worth if it's not you who wields them in the end?