Oh he definitely is. It's interesting because Zim has this notable complete lack of regard for the safety and wellbeing of others a lot of times (see: Hobo 13, everything with Tak, etc). There are also a lot of occasions where his first impulse is to be polite or considerate, eg. Walk of Doom (throwing wads of cash at the drive thru guy) Dibship Rising ("But I don't want that" "Oh okay"), The Frycook What Came From All That Space (multiple things, from giving out extra sauce packets to apologizing for accidentally making a taxi explode during his escape), etc.
I mean, being an Invader isn't just a job for Zim, it's something that was literally programmed into him. He's not very good at aiming that destructiveness and more often hurts other irkens or himself than he does his intended targets, but causing massive amounts of destruction was his entire purpose in life before he was re-encoded again (and he apparently can't be completely re-encoded, so). But he empathizes almost casually. He empathizes with inanimate objects.
Zim's biggest issue seems to be with regret, guilt and shame. Anytime he's even close to any of those he'll instead just start living in a world where whatever he did just didn't happen, or was someone else's fault, or he'll reframe it as a positive thing, or sometimes he'll just "zim.exe has stopped". Which makes him apologizing in a genuine and straightforward way for anything really uncommon (and The Frycook What Came From All That Space a pretty remarkable episode for that alone).
Dib meanwhile!! Is in fact pretty callous, just by inclination. He'll drink your soda and eat the last slice of pizza and never replace your favorite cereal and and turn your video game console into a ghost detector and test questionable spells on you without asking because it just. Does not immediately occur to him that, 1. boundaries are a thing, 2. he's causing harm, 3. he should care if you're hurt. Most of the time whenever he does something helpful or selfless it's based on his sense of what he should be doing, according to the structure of right vs. wrong that he's constructed for himself, rather than on empathy. If he thinks hurting you is Morally Right (or just not Morally Wrong) he's not going to think twice about it. He has to reason out why he should care about people (...sometimes. Out loud. In public.)
Which isn't to say that he can't sympathize, since 1. that's a different thing from empathy and 2. he clearly does try sometimes, especially for certain people. Even before EtF, there was Gaz, Taster of Pork.
Which brings me to another thing: Dib expresses guilt. A lot of it. An overwhelming amount of it. It may take him a while to get there sometimes but the realization that he has hurt someone he cares about and that this was a very bad thing for him to do can easily motivate him to, say, try to fight and sprint his way past a bunch of demons just to spill his own guts for you, and then think being made to clean the most disgusting and lovecraftian bathroom in existence with his own head is a pretty lenient punishment.
That's probably why every attempt he makes at sympathizing with Zim makes him visibly uncomfortable! Because if he tries to sympathize with Zim, he'll have to analyze why he's sympathizing with someone who is Bad, and from there whether or not Zim is actually Bad, and from there it's just a cascade of horrible, world-shattering guilt if he doesn't work back around to the conclusion that Zim is Bad because of Reasons.
Because Zim is the single person he has hurt the most in his whole entire life, the person he actively thinks about causing gratuitous harm to on an almost daily basis rather than just sorta passively hurting by accident or carelessness. It'd send his already pretty damn high levels of self hate rocketing up into orbit. I don't think he'd ever stop feeling horribly guilty about it. It might even make him completely restructure his sense of right and wrong from the ground up.
