There's something very satisfying about imaginary people (e.g., fictional characters). And it's not that we control what they do, because we don't, not entirely. For generations, people have been telling stories about imaginary characters--and about people who once lived but have now become legendary.
Perhaps we like to have company inside our heads. Perhaps we need to have these alternative selves who explore the paths we can't take ourselves. Whatever it is, it's powerful and peculiar and strangely rewarding. I'm in the middle of a revision right now, and it's rather like having a bunch of invisible houseguests, all of whom have an abundance of tension and unresolved problems.