They’re both excellent at being different kinds of evil.

Winn is prideful and ambitious above all else. She sides with good and evil both at different times in service to her own goals. She deludes herself into believing anything that pursuit of personal power is also what serves Bajor.

Winn commits evil in service to her ambitions.

Dukat has the same vices, but with added elements of narcissism and wrath. He briefly tries being good, and almost reaches it when he finds genuine love for and from his daughter, but when his actions lead to her death he lashes out at the universe and becomes entirely consumed by wrath and megalomania.

Dukat’s ambition in the end is to commit evil.