Okay, so you're asking about incubus antiheroes, and that's a tough one because a lot of authors default to the 'sinfully hot but ultimately redeemed' template. A few do the work, though. Rebecca Zanetti's 'Dark Protectors' series has a few incubus-adjacent characters, but they're more vampire-adjacent hybrids. The one that stuck with me is 'Demon Lover' by Juliette Cross—part of her 'Stay a Spell' spinoff world. The incubus there, Killian, isn't just a seduction machine; his powers are tied to emotional energy, which creates this interesting conflict where he's both feeding and forming genuine attachment, which the lore punishes him for. It's less about being a bad boy and more about a cursed existence.
Another is 'Incubus Diner' by K.B. Alan, which is weirdly cozy and dark at the same time. The incubus runs a diner for supernatural beings, and his past as a predator is a burden he carries, not a glamorous trait. The complexity comes from his attempts to build something normal while his nature constantly undermines it. For a more classic fantasy take, try Anne Bishop's 'The Pillars of the World'. The incubus character, Lucian, is a fae-like being of desire, but his role in the story is as a manipulative force within a larger societal collapse, and his motives are ambiguous right up to the end. He's not a hero in any sense, but you understand why he acts. Most of the truly complex ones seem to live in paranormal romance-urban fantasy blends, not pure horror or dark fantasy, which is a shame because that's where the real moral ambiguity could flourish.