I'm thinking doing the Missing In Action quest. But I'm full good and I'm with the Empire (finished the Legion/Empire questline).
Well don't mind killing the Thalmores becous I hate them. But am I evil for doing that? Especially then I'm with the legion?

You'd be evil if you let some poor Nord sod get tortured to death for no reason. Plus the legion only agreed upon a a frail treaty with the Thalmor, who is to say that they won't start another war again if the Stormcloaks don't.