To feel for characters at all, we need to make a connection with them. To make a connection with them, we need to believe that if we were put in their shoes, maybe we'd follow the same path they're on. When we talk about mature themes, we're not describing arterial spray. We're talking about character motivations that we sympathize with in the setting. When we get to our nemeses after hunting them down for 50 hours and they say, "Man, do you see what I have to deal with?" we nod and say, "Yeah, I guess I do…" even as we're reluctantly beating their faces in with a morningstar.
But it's not a one-way street. Those characters need to be with you. They need to pay attention to who you choose to be and how you choose to conduct yourself. It's why we love writing conversations as dialogues, exchanges with give and take. If we've built a world you believe in, your choices won't feel like random button clicks. They'll be decisions that make you think, maybe trouble you, possibly annoy you from time to time. And when your companions, friends, enemies, lovers, haters, et al. react with jeers, whooping, or the RPG equivalent of a sustained Citizen Kane clap, you won't feel the invisible hand of the market designer at work. You'll feel like you're at home in the world we, and your choices, have shaped.
Some people have suggested that I hate high fantasy or want to subvert high fantasy. Neither of these are really true. I just don't like how most stories handle high fantasy: both too seriously and not seriously enough. Too seriously in the sense that a lot of fantasy conventions are considered so sacred that you can't touch them (or even question them). Not seriously enough in the sense that the scenarios and the characters don't feel like they tackle the obvious questions raised by the settings they're placed in.