Personally I think it just depends on how they are handled. One problem I had with Chaos is he's never mentioned at all until the end of the game, so theres no suspense or real build up to him. Because Chaos isn't even named until the end there is also no feeling of his presence or effect on the world, all we have through out most of the game is the four fiends and thats it.

A good example of this type of villain done right in my opinion is Sauron from the Lord of the Rings. Throughout the whole story he never appears once, and the author never explains at all what he looks like; all we know is that he is a powerful being set on taking control of the world. Despite the fact that he never appears the reader constantly feels his presence in the book, almost like a dark ghostly figure looming over you and it makes it a bit creepy.

Sometimes just having a simple evil out there doing bad things just for the sake of doing them works better than a sympathetic villain with a developed motive. It also sometimes helps to make the villain almost never appear or stay behind the scenes to help make them more scary and intimidating because sometimes it's the things we don't see that scare us the most.

Thats just my opinion anyway.