Suzanne Keen writes in the journal Narrative: "readers' perception of a text's fictionality plays a role in subsequent emphathetic response, by releasing readers from the obligations of self-protection through skepticism and suspicion."
In other words, perhaps we can empathize more with fictional characters than with real people--a striking idea to consider--because the former type of empathy costs us less. I haven't read enough about this yet, but presume the empathy itself is real even as the characters are not. I wonder exactly what the nature of this empathy is: do we feel a fictional character's pain more sharply? Intuitively that seems impossible, but maybe what we think of as empathy is our own fear--what if that happened to me? Or--I feel bad that this happened to X (but I don't necessarily feel bad for X, I feel bad for myself because X's life affects me). But empathy is not necessarily altruistic, so maybe substituting yourself for another is legitimate within empathy's definition. And if that's the case, it would seem easier to superimpose yourself upon a fictional character, whose mind you can usually read.