He loves her because she's dangerous. She loves him because he's valiant. They're both the other's magical realm.
Plus, think of it this way: just because she's evil doesn't mean she's interested in helping the greater evil of the setting. She may use vile power to accomplish her ends, or may have a little too much fun toying with her foes, but when the chips are down, she doesn't want to get her existence ended by the return of the Dark Lord Butterbean from his celestial prison. If she and the duke were adventurers before becoming royals, they could have gone through hell together quite literally and forged a bond that way.
Their love is about the value they have for each other, the experiences they share, and the better world they want to build. Even if their methods and their lives before meeting one another are divergent, their goals are the same. And honestly, what else do you need?