So I've come to the point in my campaign where I have the possibility of invading the wolds of other masters. My qestion is wether there is any point in doing so, unless you wish to achieve the "bad" ending (as far as I've understood, the bad ending requires that you destroy the other masters). Simply put, what are the positive and negative effects of destroying one of the masters?

Some individual Masters are linked to various plot/ending events that require their destruction, but for the most part, the only strong reason to do so is if you're going for the Highlander ending.

I heard you get special rewards for some of them. But not sure, the only time I ever tried I got defeated very fast.

Killing Do-Gor could give you permanent alliance with orcs(and related to second Key).
Good for evil masters - they are cheap, tough, and building generate additional gold.

Killing Ul-Dagan unlocks possibility to find another ending.

Other than that, their worlds will provide same bonuses as generic shards - possible castle schematics, troops...