Probably all types are capable of being villains to some degree, but I'm sure most will agree it is VERY hard to be truly villainous if you are an Fe user, simply because Fe users like to adhere to shared values and keep people happy. But I think I have found a possible example of FJ villains in fiction.
It seems the most likely way an Fe user can be a villain is if they THINK they are helping. Therefore they have to have the delusion that what they are doing will make people happy.
One possible example is Angela Petrelli from Heroes. I am unsure about her, but I think she might be ISFJ. She always tries to 'protect' her family from the world and discreetly manipulates people while hopefully retaining their trust and love into keeping order and happiness in her families life. However, she is obsessive about this and has caused a lot of trouble because of it.
Another is Esme Squalor in A Series of Unfortunate Events, who is probably ESFJ. She is often actually quite cruel to some people, namely the Baudelaires, but she is under a delusion that she is making her particular societal influences (Olaf and troupe) happy with her presence and work in his schemes. She thinks her behaviour (including her need to be 'in' all the time) is beneficial to those who are important to her and she is rather conscious of her social standing.
So, any other FJ villains you can think of?