I've only finished the anime up to season 4, but I don't think the theme is that "Nazarick is evil and evil skeleton overlord is fun", but rather "do the ends justify the means Nazarick takes", given that Ainz wants to create a utopia where all races live in harmony. It's very interesting writing given how much time and humanity is given to side characters that are eventually destroyed or imperialized by Nazarick.

I actually wasn't picking on overlord specifically, more like political and economic statements in anime tend to be right wing liberal stuff.