I guess to some extent the Shards have become complacent when it comes to mortals and often are only shown fearing other shards. Living for thousands of years has probably made them underestimate their own creations.
You make a great point that seeing Odium leave Braize and go conquering through the Cosmere would be amazing and it does seem like the series is going that way. Some shards seem to have their own champions or weapons (Wax, maybe Lift? and probably others) who may be brought in to handle inter-shard conflict.