Yes - in the appropriate contexts.
Is it ok to say like that "They want him dead" or "They want him alive"?
Yes - in the appropriate contexts.
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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.
I'm not a teacher, but I write for a living. Please don't ask me about 2nd conditionals, but I'm a safe bet for what reads well in (American) English.
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.