Isekai where the main character is totally overpowered and hardly ever needs to struggle is exceptionally common. The only thing that makes this series just a little bit unique, is that the MC is evil. Otherwise this is no different from the huge load of OP MC isekai stories. There must be a significant audience in Japan for stories where everything is easy for the MC. That's just how it is.
I wouldn't be so sure Ainz and Nazarick will ever face any great difficulties. Maybe the story will throw a curveball at some point. It remains to be seen. It's pretty safe to assume that any threat won't come from the empire or the kingdom, though. They are totally helpless.