I don't know, Ejiofor had an earnestness and sympathetic nature that I wonder Mikkelsen could have brought. Unfortunately he's usually the bad guy and the only time I recall him not being the villain (Rouge One) he was still removed and stoic. I think that one guy who was "killed" defending the sanctum is coming back (eventually) as Brother Voodoo.
For my money, Mordo is on the top of the MCU villains list, especially now that Loki is getting "re-vamped" by his show, which I honestly did not care for. I'm hopeful Wenwu will have similar complexity and just just be "badass" with power rings, which at this point isn't enough to make a memorable comic character bad guy.