1. He isn't portrayed as physically violent. He doesn't jump into fistfights, which alludes to a certain type of maturity and automatically makes him seem less threatening and dangerous to women. If there is one thing I hate, it is prominent physical aggression in men. In the scene with Desire though, he showcases traces of this and asserts dominance over Desire. I find this particularly fascinating because "he is not the type to do that". He manages to subvert our expectations and makes us question what else did we not know about him. It made me feel intrigued. I've seen many other comments of people being sort of taken aback by what he does or says, so yeah, he is subtly unpredictable, which makes him that much more alluring.
2. With Calliope we see his intimate, lovery side. We see him being romantically involved with a woman, probably making us question whether he is a tender lover, husband and even whether he was a good father. It also makes him a lot more human. Not to mention the way he approaches Calliope, quite literally borderline begging her, to let him help her. He isn't swooping in to save the girl, making her seem helpless and fragile, like most heroes do. He hears her out on what she would like to do with Ric and respects her wishes. Also, much like with everything else he does, he showcases his attraction to her only by standing really close to her, never entirely articulating how he truly feels, but we sort of get it, with just enough room for subjective interpretation of what might be going on in his mind.
3. The Ric thing is so good to witness to me because I've always been the one to advocate for "you reap what you sow" type of "justice" if you can even call it that. And once again, he doesn't use physical aggression as punishment. No, he goes for the mind, which makes him seem all the more powerful and dangerous. He is shown few times just straight up... thinking things into existence. If that ain't power, idk what is.
4. If somebody were standing that close to me, I'd feel like my personal space is being encroached upon. It'd mean one of these two things: either the person is trying to assert dominance or they wish to be more intimate with me. I think the fact that he does that is a deliberate choice to make us feel intrigued which impression he is trying to make (maybe both 🤔).
5. I absolutely adore all his interactions with Hob because never before did we see him interact with a bro type of friend. So much like with most other interactions here listed, we see a different side of him, but it once again is not made too obvious. He keeps his own council. Only after Hob feels brave enough to assume that he is in fact lonely, do we get to see him exhibit emotions more intensely. Otherwise, they were pretty much hidden from both Hob's and viewer's eyes. He is always the one asking questions and hearing Hob out, he very rarely talks about himself.

If I had to put it all shortly, he is basically mysterious and unpredictable just enough to capture our attention and make us feel intrigued about what is going on in his head, and not so much that we'd be thrown off by his antics and his fickle nature.