I have a problem with your basic assumption Power=Reward, or at least a desired life.  Lets take a look at one of the most recently featured demon lords Kostchtchie.  He came to power after a humiliating defeat by Baba Yaga and to this day hates what he has become.  He is full of hate and loathing and even taking into consideration his power I wouldn't want his life.
The life that most of the powerful evil creatures have is not one that most people would seek after.  They suffer as much or more then the people that happen to cross their path.  The very nature of evil makes life not worth living, despite what it may look like from the outside.
I had in my life the chance to converse on this very subject with a man who had been one of the biggest drug dealers in SLC years after he had turned his life around and had become a family man and a devout Christian.  He told me that at the height of his power he wished that he had never gone down that path.  He couldn't trust anyone and even basic things that we all take for granted where denied him.  He once was stabbed in the heart and was unable to seek healthcare because it had happened during a drug deal.  Even years later he was dealing with issues that occurred because of his life choices.
I hope this helps