He doesn't have 0 utility. He has a shield, speed buff, heal, dragon ( I guess that is utility). To top that off he can do some odd setups which are really funny. He scales off of pretty much every stat in the game (except mana/mana-regen) so he can build weird shit like rylis + ardent (and have bond of stone) to give team AS, or even just get a knights vow to help soak damage for a teammate. He isn't hurt by ardent or knights vow stats either. Rylis or frozen mallet both feel great on him giving him utility. Although rylis feels crappier for sustained damage than frozen mallet because of the hp difference between the two items.
I'll also let you in on a little secret about playing morde. Most games you don't have what you need to win the game without farm. He is a build what you need champion. If you need Rylis+liandris get it. You need trinity + stereks (which gives 72 base ad at level 18 lol) get it, and so on. A lot of his power comes from knowing his match-up and having a teammate get his ulti. In reality if you want to main morde I even suggest getting a duo partner.
Getting a duo partner will open up the game for you to do things that you otherwise couldn't.
Secure dragons for pushing dreams.
Secure kills for free ghost stats (which is in part why he has low base stats) he is partially balanced off of the idea that he will (always) have a ghost.
Get someone to peel/cc to allow you to do something more than flash + 3rd q.
Also, lots of damage is pretty subjective. I've personally seen myself deal more damage to champs on tankier builds (and champs), not because I actually did "tons of damage" but because its damage over time. So the damage stat is sort of a lie in itself. Sure I did more damage, but I also took so long to kill them that they had time to heal 1-2k damage via lifesteal or any sustain that they have. Sometimes the highest damaging champions show up having the least because they kill the enemy so efficiently.
As far as "Either you're ahead enough to kill them, or you're not." I actually win a surprising amount of games where my team is down 10-15 kills, just because of Mordes ghost utility. You don't need to be able to kill the enemy to win a game, you just need to be able to push them down.