I don't find these books as morally realistic or ambiguous as you do. The examples you mention certainly are. And while most of the characters are painted with, as you say, an admirably diverse palette of grays, Rowling portrays her two main figures, and the dispute between them, in stark black and white. Harry and Voldemort are far less conflicted than the folks with whom they share the stage. In terms of virtue and evil, they're flat figures moving through a three-dimensional landscape.
Let's take Harry first. The situations in which he finds himself may be morally complicated, but he himself is not. Has he done anything wrong in these past four years? By my count, he's made only two sorts of mistakes. Some have been of the lovable-scamp kind: He exacts light revenge on his horrendous cousin Dudley, fakes the answers on some patently ridiculous homework assignments, sneaks out when and where he shouldn't, etc. These aren't real misdeeds; in fact, they're calculated to win our approval. Dudley deserves far worse, the homework really is useless, and it's only by flouting Hogwarts rules that Harry saves the lives of Ginny Weasley, Buckbeak, and Sirius Black.
The other sins Harry commits are innocent ones. He mistakes his allies for his foes or allows a criminal to escape in order to save the life of another. Harry regrets these missteps, but brightens when Dumbledore, usually at the end of the book, claps an arm around him and explains that actually he's done nothing wrong--if anything, he's been valiant beyond his years. (In Book 3, the take-away was Free Will: Harry learned that even though the Sorting Hat wanted to place him with the devious Slytherins upon his arrival at Hogwarts, he had overridden his destiny by wishing for heroic Gryffindor. In essence, the lesson taught to Harry was that he had been acting correctly from his very first day at Hogwarts! Well done, young man!)
But our hero has never experienced true remorse or had to conquer any nasty habits or weak impulses (I'm on Page 646, and so far, the worst he's done in this book is procrastinate). Last year in this space, Tony Scott hoped aloud that Harry would be tempted to join the Dark Side, as have so many talented wizards have before him. I don't know if I'd find that quite convincing--Voldemort murdered his parents, after all--but I'd like to see Harry do something he knows is wrong. Any guesses at to what Harry's flaw could be?
At least it's only Harry's moral makeup that's flat--the rest of him, from his breathless excitement over Quidditch to his pining for a parental surrogate among his professors and caretakers, is beautifully drawn. Not so for Voldemort. Who is this guy anyway? You call him "sublimely chilly," but I think he's all fire-breathing kitsch. Rowling, usually so inventive, accessorizes the Dark Lord with the most shopworn sorts of villainalia: a mirthless laugh, a snaky demeanor, and lines such as "Harry Potter is as good as mine!"
Nor do we learn much about him. Most characters are so frightened of him that they refer to him as "He-Whose-Name-Should-Not-Be-Spoken," and Rowling doesn't really say much either. We know that he was once a brilliant student at Hogwarts and that his reign of terror over the wizarding world ended when he failed to kill infant Harry. But we're clueless as to why he originally defected to the Dark Side and what his followers see in him. Everything that terrifies me in this series--the death of loved ones, panic over not knowing who to trust, the inescapable gloom of the Azkaban prison--does so because it plays on our my own deepest fears. Voldemort has no such resonance. Perhaps you will tell me why you find him menacing, so I can borrow your case of the shivers before I'm through with the book.
All of which is to say that I dearly hope Harry and Voldemort's actions will become less predictable in the coming volumes. In this respect, The Goblet of Fire is already a bit more promising than its predecessors. I noticed Harry being a teensy bit callous without cause to Moaning Myrtle, a forlorn, mousy ghost who's repeatedly saved his hide and gotten hardly a word of thanks in return. Hey Myrtle, are you really going to tolerate that kind of treatment? Maybe there's hope for Voldemort too. One idea: When Rowling explains the original split between him and the rest of the wizarding world, she could make his decision to defect a wrenching one and have Dumbledore or Harry's dad almost succeed in tempting him back.
Or maybe I want Harry and Voldemort to stay as pure as they are: two poles of good and evil, with the rest of the characters arrayed around and struggling between them. After all, Harry is truly virtuous, and Voldemort hopelessly corrupted. Endowing Harry with a token downfall and Voldemort with a drop of honor might just be a distraction. There's no use pretending we don't know how the struggle between the two of them will end. It's watching what happens to all of our other wizard and muggle friends that's keeping us riveted.
Eighty-eight pages to go,