This is perhaps one of the most difficult aspects of writing for and of characters who do not exist as a real and whole person outside of our heads. These characters, the unreal ones, need some sort of material from which they can be built and developed, and since they come from our heads that material must naturally come from there as well. This means that the characters we make up are a part of us in some way, even if they are based on reality, and to see harm come to those characters has a profound effect on us. That effect can of course be in the form of many emotions, and one has to wonder if there are writers who enjoy tearing their characters apart more than guiding them to happiness or resolution.
Personally, I wonder if that is a natural step in the evolution of the fiction writer: sadistic pleasure.