Also in the piece we have a villain (6)
I believe the answer is:
bandit
'villain' is the definition.
(thesaurus)
'also in the piece' is the wordplay.
'also' becomes 'and' (both can mean in addition).
'in the' is an insertion indicator.
'piece' becomes 'bit' (bit is a kind of piece).
'and' put within 'bit' is 'BANDIT'.
'we have a' is the link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for bandit that I've seen before include "Outlawed robber" , "Criminal type" , "Armed outlaw" , "hood" , "Outlaw, robber" .)