Up to this point, Zaheer and his gang have only been guilty of breaking out of prison and sneaking around, but now that their path has finally crossed Team Avatar's they've shown how vicious they can be.
Just a quick nitpick to get it out my system, but I'm pretty sure the criminal quartet have killed, like, a lot of people. Cops were driving those trucks P'Li blew up in the last episode, and we don't see them conveniently leap to safety. During Ghazan's breakout he sent people flying with that lava star he had, and even in the Avatar world if you get hit in the face with a shuriken made of lava you are dead.
True its not like they've murdered anyone directly on screen, but with the firepower they've been throwing around and the lack of care they've been using I cannot imagine they haven't caused even a single fatality.
I'm wondering if they fact they all have a very unique style of bending (we haven't seen anyone lavabend before, only one other person combustionbend, Ming is a damn impressive waterbender for someone with no arms and Zaheer knew enough about airbenders, even before becoming one, that I suspect he can spirit-walk) is something to do with why they want Korra. Trying to take it upon themselves to teach her maybe? With his extensive knowledge of airbender culture and philosophy Zaheer does seem a pretty good evil counterpart to Tenzin