I admittedly only read Ch0, but as I've done more of these I've given them more of a chance so I'll go back to yours and read more later today. 
I try to write morally grey characters a lot too, and I think it can definitely be tricky. From the little bit I've read, it felt more like his morality was all over the place, rather than sprouting from his own worldview, if that makes sense? There were a couple points where I got the impression you picked dialogue to make an otherwise okay-guy seem more questionable, like when he was referring to his experiment as a secret weapon, rather than a way to become an angel (it's all in the phrasing I think). And I think because of that, his hero complex ended up coming off more disingenuous than you were intending? I really felt as if he was doing it for all the wrong reasons (most of which using it as a self gratification and validation) with almost zero of the genuine selflessness that a hero is usually attributed with. In all his inner monologue, he was talking about how he deserved to be an angel for doing things for people and focused completely on himself rather than the people he was actually helping... so it was hard for me to have sympathy for his situation. Kinda gave me "nice guy" vibes.
I think I would have been more sympathetic if they had told him he had the chops, groomed him to be one, and then never delivered on their promise and just used him until they didn't need him anymore. That way he doesn't feel like he deserved something grandiose out of just doing the right thing while he was living and the onus is on SEE for breaking their word and emotionally abusing him.
Based on your opening scene to the series, that may have even been close to what you were going for. But because SEE and the specifics of his circumstances weren't established, I had to make my own conclusions based on what information was given to me. We're told that he trained with them for 8 years and did their bidding, but not of why or what they promised him. Was he justified in expecting to become an angel? Or did they never tell him he could and he just thought they would let him be one with enough effort? Why does he want to be an angel so bad anyway? Maybe a short flashback of his time with some of the SEE characters might've helped instead. It could've established the basics of what this organization is like, how they treated him, the expectations they put on him, and the ones he put on himself.
A lot of world building is figuring out what the audience needs to know to understand the world/characters versus what is interesting enough to be left a mystery and discovered over time. This is a really hard lesson I've had to go through myself, because I screwed that up in my story. I made my main character's motivations and past a mystery because I thought it would make him cool and interesting, but instead it just meant nobody was invested in him unless they liked his archetype. They didn't have context for his actions so it didn't matter. My creative partner and I have to do a LOT to try and make up for that lost time, and we're still paying for it 300 pages later.
Okay I'm gonna stop rambling now and read more of it. 
