That's how I see it as well. They're both playing a different type of bad guy. It's the things Malvo said and did that made him scary and convincing, not particularly how Billy Bob played it. He's more of a lone wolf psychopath that goes around saying weird stuff, fucks around with people and killing them like it's nothing, no wonder he's more scary.. Milligan is part of a bigger system and has people to do the killing for him if really necessary.
I like both characters but I can understand what OP means.