The Mandarin shouldn't need to conquer the world. The Mandarin won a long time ago. Thanks to things like Citizens United legalizing bribery, and gerrymandering allowing the control of state politics simply by corrupting the leadership of the one dominate party in each state, the Mandarin should have won via bribery and corruption a long time ago. The Mandarin should be the reason why laws with even 90% approval don't get passed when they conflict with the desires of rich corporations.
As such, trying to conquer the world outright should be portrayed as just a minor hobby of his. He already rules the world in every way that matters. Attempting to get that last little dollop of power via conquest is just for funsies.
Furthermore, since he's been at that hobby a long time, maybe it's time he got bored with it, and switched to hurting Stark in small, personal, disturbing ways. Creepy things, like stealing the ghostbuster gizmo Stark invented for the Nightstalkers, and modifying it to torture ghosts. And then digging up Howard Stark's bones, summoning his spirit, and torturing Howard Stark via technology stolen from Tony Stark.