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but more enthasis is put on his moral code and nobilities
Yes, that is a major difference. I believe M.Burns would never even give a penny to anyone, no matter the situation. (I have a hard time remember a single episode in which he did.
Khan has. (ex : "Save the tiger") I also think Khan may be cold-hearted, but I'm sure he still has a heart beneath, well hidden. It's linked to the fact he has moral codes, shown for example by the rivalry in "Whislestop Jackson" : if he didn't care, he wouldn't have such codes.
And let's not forget the physical aspect! Khan appears as a large, strong man in his 40s (50s?) while M.Burns is a weak "squeleton" and is so old we don't even know how he can still be alive!
Mmm, maybe it's too obvious, but don't you think Khan also shares some similarities with Scrooge McDuck?

The big difference between the two being that Khan seems more interested by power, rather than money. (or at least, he doesn't show it) Scrooge doesn't really care about power and ruling the world.