1. Some or all of the goblins in the Labyrinth are kobolds
Kobolds, unlike some other goblins, have a habit of hanging around humans. They thrive on human attention, and even the ones who live in the mines were known to play with humans whenever they wandered into goblin territory.
They're like children. They NEED attention.
As time went on, fewer people believed in goblins, and stopped making doing the things that would invite goblins and other sprites into their homes. Even so, the goblins still needed human attention. So how do you get a human to give you attention and love when no one is giving it to you willingly anymore?
You steal one.
Which leads us to:
2. Jareth was part of a changeling swap
Unlike Toby, who Sarah wished away (and honestly, how many of us oldest siblings hasn't tried that at least once?), I think Jareth was taken by the goblins and replaced by a changeling as an infant.
The goblins make him their "king", but the position is one of name only. Sure he gets some magic powers, but they're about the level of party-tricks. His whole purpose is to be "their" human. He was raised by them, but he's still a human, with no human friends or family. What's more, he knows he's human.
This puts Jareth is an odd spot when he falls in love with Sarah. When she wishes her brother away, Jareth probably thinks he's lucked out. Not only is he able to show off and (hopefully) gain the affection of another human being, but Toby could replace him, giving him a way out of the situation.
But when Sarah says she has to get Toby back, Jareth is forced to go back to playing his proper role as an antagonist, even though, at some level, he doesn't want to. Throughout the film, his attempts to stop her seem, well, half-assed ("Dangers untold and hardships unnumbered" seems like a bit of a hyperbole, too, doesn't it? There were like... five.) and he seems genuinely disappointed that she keeps turning him down.
Further evidence of this is found in the novelization of the film:
She turned again. The wind blew her hair over her face. Brushing it back, she took one timid step forward.
Jareth's voice came from behind her. "Turn back, Sarah. Turn back, before it is too late."
"I can't. Oh, I can't. Don't you understand that?" She shook her head slowly, gazing at the distant castle, and to herself, quietly, repeated, "I can't."
"What a pity." Jareth's voice was low, and gentle, as though he really meant it.
"You have thirteen hours to unriddle the Labyrinth," Jareth told her, "before your baby brother becomes one of us."
Jareth nodded. "Forever."
At the end of the film, when Sarah says he has no power over her, she's only partially right.
In reality Jareth has no power over the situation at all.