I would choose Mxy specifically because he does not have unlimited power, it only appears that way from a 3D + time viewpoint. The 3D + T dimension limits him and in many ways and is said to affect his mental state negatively the longer he stays.
He’s been captured by Jor-El, had his powers taken by The Joker, forced into a merger with more than one god, been chased by Dr Manhattan, and lived and died as a mortal. Limitation, and they are interesting ones.
There’s always political intrigue in Zrfff, and living a 5D life with other 5D beings makes him just a regular Joe back in the fifth dimension. And vexing Superman, his best buddy? That’s got to be great fun.
Really, between ‘Cat-Man’ and Mxyzptlk anyone chooses Cat-Man? If you are Mxy then you could *become* any other entity you liked. He was Clark Kent without even meaning to be. Mxy is hardly even a villain much of the time; there’s little difference between his (or, say, Qwsp ) antics and the “help” that Bat-Mite provides Bat-Man - just look at real 5D villain like Vyndktvz.