I think that looking back on Kim Possible as an adult makes me realize even more why I support Drakken and Shego as much as I do, especially looking at it from Shego’s perspective.
At several points in the series, it’s pretty much proven that Shego can do a lot better than working for Drakken. She could decide to be a solo villain and would likely be a lot more successful than she is working for him. Or, she could decide to work for a lot of other villains and at least get better pay, if not more success in regards to plots.
Despite this, she pretty much always stays with him, and on the rare occasions she has left (for reasons outside of vacation time), she always ends up coming back. As much as she likes to deny it, she does care for him.