I agree with you that he never changes. I even wrote a piece on him a year ago (if you're interested: https://medium.com/make-it-personal/the-traits-i-share-with-tony-soprano-79ab034a8933 )
Your last sentence is exactly my point and why he's more than just simply a monster. He's a bad, malicious man, but his smartness, intelligence, and occasional empathy is what makes him more than just a vicious monster as a character. But as you said, he refuses to do something about it even when he's fully aware it won't end well.
He is a tragic, deeply relatable anti-hero, though.