You are absolutely right about the Hempfs of this world, sadly.
Yes, I fall in love with fictional characters sometimes. I've outsourced my feelings to films as I prefer not to experience them in real life. Pesky, messy things that they are. ;)
I also think that's why I love horror films so much. For me they are the flip side of the coin to weepies or romantic tragedies. I love films that scar and provide catharsis. In that sense, I'm a bit of an emotional masochist (or so my wife tells me). :)
If you're interested, I talk about this issue a little in this podcast (at least, I think it was in this episode). This is a film podcast I used to co-present with a former colleague and friend. :)