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I think most people do, just like with movies.

So, first i would say that looking at a "lets play" is not the same as playing the game. You will not put your own effort in dscovering these characters and their sub-stories aswell as working on maxing their gear and their stats, explore the world with them and generally interact with them.
If you are unable to imerse yourself in these worlds, be it games, TV or movies,then without any sort of intention to flame, you may have some psycological condition that prevents you from feeling it. I recommend seeing a psychologist if its something that you feel not only with entertainment but also real people. Those kind of conditions are well documented and i dont know what sort of treatment there is, but it might be worth checking out.

edit: Decided to delete this paragraph as i think it didnt deliver the message the way i intended it to.