Enemies are usually, not always, but usually portrayed as evil because usually, audiences are meant to sympethize with the protagonists and want them to succeed, and generally speaking, audiences are more likely to sympethize with people whose ideals they agree with, and since most works of fiction aren't designed to appeal to mass murderers, this generally means that the protagonists are on the side of good, and by extension, their enemies are on the side of evil. If you make it so it isn't necessarily obvious that your antagonists are the bad guys, then you risk making your audiences root for them instead of the heroes, and usually when your antagonists become more sympathetic than your protagonists, it is not a good sign.
Now, this doesn't mean ALL protagonists must be good, or that ALL antagonists must be evil. There have certainly been exceptions, but you really shouldn't need to ask why many authors prefer to keep things like that. It's much harder to make sure that audiences are rooting for the right side when it's clear who that side is.
he dark brotherhood in Oblivion weren't very good were they and you could play as 'em.
That is quite true, although the people you had to kill for the Dark Brotherhood were often not nice people either, but that kind of makes sense, because you're an assassin, and when people want someone assassinated, there's generally a reason for that. And criminals and the like tend to make a lot of enemies. But in any case, the Dark Brotherhood wasn't part of the main storyline, and that questline likely exists to give characters of a less noble sort some oportunities too, because the main quest was really more knight in shining armor type material.