It's called Moral Agency

Because it shows they have a choice on being evil as well as being good.

Like, let's get take this example, would you be more angered who killed a person because he/she frankly had no choice and couldn't know he could've spared him/her, or a man who knew he/she can spare him/her, that it was better morally to spare others, and yet kills him/her anyway.

Having an actual choice in doing crimes because you know what truly is right and what truly is wrong makes it far worse than if you never really didn't have a choice due to your lack of knowledge.

If a villain has no moral agency or has moral agency issues, they can't be PE. Same with heroes. If a hero has no moral agency or has moral agency issues, they can't be PG. If a villain fully understands the concept of right and wrong and just straight up doesn't care and does evil just for the heck of it or to fulfill their own selfish goals, you know they're truly sinister and irredeemable. And if a hero fully understands the concept of right and wrong and does good just for the heck of it or to fulfill their own selfless goals, you know they're truly honorable and incorruptible.

But why is personality and/or sadism showing proof for knowing what right and wrong is? Couldn't it be also something like that they just feel sadism without knowing that it is wrong to do heinous stuff?

Yeah, that's the thing. It doesn't. It never did.

To what of the two questions is this answer for?