Want smb dead/alive

Is it ok to say like that "They want him dead" or "They want him alive"?

Yes - in the appropriate contexts.

If I were writing a novel in which these things were said, my meaning for "They want him dead" means they want someone to kill him. His death is desired, not "him" in a dead state. That is, they don't have a use for his dead body -- just the knowledge that he's dead.

However, "They want him alive" would mean they want him in person, obviously alive.

If someone is wanted "dead or alive" that means they are such a notorious criminal that the use of lethal force in apprehending them is approved.