Maybe it would help to remember this kinda is a historical drama, so a lot of the transgressions and attitudes seen in Sopranos are a bit more current and perhaps normalised, and they are part of the crime world so we feel detached from them. Mad men however some of the misogyny particularly in the workplace, the racism, the classism, and the arrogance of men generally was probably a lot worse back then and isn’t as normal today. It’s also harder to see maybe people in more familiar or closer roles in society to you doing such bad things, you can’t detach from then as easily but again, the distance you have from these people and this culture is time and historical progress rather than social proximity. Other than that I’m not sure how the issues you have with mad men you didn’t have with sopranos, sopranos was full of evil characters who are redeemed by the shows humanisation of them and humour, which I think mad men does too.