She's essentially a female Bentley from Sly 2, both in character and gameplay, so making her a villain at least makes her more interesting.
It's not because I love Penelope so much as a character, but because how poorly was that twist executed. Well, let's begin…
There was not a single evidence of Penelope being a bad guy in Sly 3, but whatever - Penelope decides to eliminate Sly from Bentley's history, so that he doesn't go the "honor for chump change" route and can develop weapons and make money with her. Well, okay, I guess the lack of TiT's time travel logic will allow her to do that and somehow avoid erasing their meeting from the history (they met because of Cooper Gang after all). She owns a time machine and can travel through time, great! She can kill young Sly right after the Klaww Gang attack (when nobody was watching over him). Or maybe something less cruel… Perhaps causing Bentley to be sent to another orphanage, or perhaps prevent the events that made him an orphan in the first place… Oh whatever, why don't she just team up with some random bad guy who will most likely backstab her and have truoble with six Coopers instead of dealing with a kid Sly, or even no Cooper at all! That's the plan! Oh wait, I know how it can get better, listen… How about she decides to get rid of Bentley at the end, making all her struggle EVEN MORE POINTLESS!
THIEVES IN TIME LOGIC! GAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAH!