In my opinion, he is not a hero, but an anti-hero. Dally was a criminal, and he took pleasure in that; he didn’t like doing things the legal way. He was a product of bad circumstances. The reason why he is a hero, is that he saved Johnny and Pony many times. Dally helped them find a place to stay when they were fugitives; gave them money and a gun; and when he risked his life to save the kids from the burning barn.
One of the reoccurring themes is to not judge others based on how their physical appearance.