How to make the villain scary?

So I'm writing a cyberpunk spythriller set in a fictional city state. The general gist of the plot is that ~100 years in the future, there is a cyborg supremacist terrorist group that wants to overthrow every government to bring the world under AI rule. This group has members in almost every developed nation. About six months earlier, this group set off dirty bombs in Hong To A) "punish" the Chinese government for a cyborg control bill and B) show off the fact that they have nuclear material. They were already a huge problem before but now the security forces of the world are tripping over each other to deal with them. Cut to the beginning of the novel where this city state's security force receives reliable intelligence that the leader of the group is in their country (which this group has attacked many times). The plot centers around the ensuing manhunt alongside a few other things including the protagonist discovering that the leader is simply a puppet for a third party and that the group plans to assassinate the local head of state.

I've always heard that you should show rather than tell. So my question is how do I make the terrorist leader intimidating without doing large amounts of telling? All this is happening after the terrorist leader did all the things that made everyone want to get to him in the first place, so I realize some telling is inevitable. I want the reader to feel what most of the main characters are feeling which amounts to "this guy seems to able to do anything and get away with it." What is the best way to do that through showing?