A character should exist as more than an obstacle for another character to destroy.
That's my TL;DR, I'm putting it at the top for convenience's sake. Now for the long essay part:
It's up to the good guys to stop the bad guys. But bad guys work best when they're actual people instead of people-shaped things. This requires them to have depth. They need a _reason_ to be bad guys, otherwise you could swap 'em out with a fire and get the same story. Hero faces obstacle, hero struggles, hero wins. No one cares about the fire because the narrative gives us no reason to. It's just there and causing problems, so it's gotta be taken out.
That's what I'm worried about running into with characters like Rhaast and Thresh. Rhaast doesn't have a bio, and all we know of him pre-Kayn is "murder guy wants to murder because murder." And if he's just an obstacle for Kayn to destroy and not a person, that's all we're gonna get.
Thresh _does_ have a bio, but all we've got from it was "jerk got job in magic basement, became Evil jerk, did Evil jerk things." Why was he a jerk in the first place? Was he given an opportunity to become less of a jerk or just shoved into the basement job? Why did the BI shove their problem under the proverbial rug instead of trying to solve it?
If he's just an obstacle in Lucian and Senna's stories, we're not likely to know more. Which I consider a bummer. With Rhaast, you could put forward the argument that he's not a real champion (even though he's got, you know, a full half of the gameplay and VO). Thresh doesn't even have that excuse. He just shows up as needed in stories about other people, does evil, gets thwarted sometimes. He's less a person and more a plot device. I think he and Rhaast would be more compelling characters if they get to be people in their own right instead of just things to kill.
And since I'm talking about personhood, I need to put this out here too: depth doesn't de-villainize or "woobify" a character. Look at Mordekaiser. He's got a beautiful bio that explains why he does what he does: He was denied the eternal paradise he was promised because that's the way the universe runs, and his only option was to accept it and fade away to seemingly nothing. Then he decided that the universe itself needed to be fixed and made a whole realm. Dude has a detailed backstory, and dare I say it, a somewhat sympathetic one. None of this makes him any less of a bad guy. He still warped souls to serve his own ends, created a murder empire, and generally screwed over everyone who's not him. But he's an amazing character because he's a person with motives, not just a Bad Thing Causer.
Sylas is another good example. He could have just been the Evil Demacian Mage, but he got background instead. He hates the Demacian approach toward magic because he's personally seen some of the most extreme examples of their approach. He hates the nobility because he knows they can get away with being mages in secret when he couldn't. We get all of this info about who he is as a person and why he believes the things he does thanks to his bio and stories. And he's still a reprehensible scoundrel. He still murders totally innocent people just because they had jobs working for nobles. He still goads on-the-fence mages toward murder and bloody revolution. He still played Lux like a fiddle because it benefited him.
So before you say Thresh and Rhaast don't "need" depth, we've seen what happens when a villain gets depth: They get _way_ cooler.