I agree. I have very tender feelings for my characters. After writing multiple books in one series, I have trouble remembering that my favorite continuing character in those books is not a real person. And that the town I invented does not exist, either.
It is commonly said that the subconscious mind takes everything literally. I'm not sure how anyone can determine that, but it is at the very least a commonly held belief. Among other things, that means that the subconscious mind can't distinguish real life from fiction. The subconscious mind also works on an emotional basis. Whatever logic we have comes from the conscious mind.
This is one reason we can have strong emotional responses to literature and film. The subconscious believes what we read and what we see.
Of course, consciously, we can distinguish (or we'd be in a lot of trouble). But subconsciously we can't. I'll go a step further and say that creative people leverage the subconscious as part of our creative process.
What does all that mean? Good writers are emotionally connected to their characters. I'm not sure we can create very well without such a connection.