The two series are connected, but the focus and feeling are different. Detective Conan, it is still not known why he steals, you have to watch Magic Kaitou for that answer. It's been a while since I've seen Magic Kaitou, but I think Conan has stopped him from stealing in that series too. They're both intelligent in different ways. Example, Conan is better at investigating and solving mysteries. Kaitou is good at illusion and tricks. Which by the way, Conan has been able to decipher every trick that Kaitou has done.
Back to point, the two series are related but the focus is different, therefore, you're going to see sides of Kaitou and not Conan in Magic Kaitou. And you're going to see sides of Conan and not Kaitou in Detective Conan.